Empirical Analysis Of The Application Of Convertible Bond Pricing Based On Equilibrium Interest Rate Model

Convertible bonds,that is,convertible corporate bonds,are bonds with dual nature of debt and equity.my country's convertible bonds can be traced back to the 1990 s,and in the following thirty years,the market scale has developed rapidly.As of April 2020,the market size of domestic convertible bonds has reached a total market value of 562.766 billion,becoming an important part of the financial market that cannot be ignored.In view of the dual nature of convertible bonds' debt and stocks,the pricing of convertible bonds has been widely concerned by scholars at home and abroad.The reasonable pricing of convertible bonds is of great significance to both corporate financing and investor investment.In the pricing of convertible bonds,market interest rates are an important factor.In the real market,interest rates are time variables with randomness.How to introduce random interest rates in the pricing of convertible bonds is a starting point of this article.The main ideas of this paper are: First,use two equilibrium random interest rate models to fit the random market interest rate,and improve the fitting effect by introducing generalized errors and dual variables;then,use the random interest rate to construct a random disturbance The Black-sholes model of convertible bonds is based on the Merton Carlo algorithm for pricing analysis;finally,additional terms for convertible bonds are added according to the actual situation of domestic convertible bonds.Select three convertible bonds in China's convertible bond market for empirical analysis.In addition,this article uses python,R language and other software for empirical analysis.Therefore,this article has a certain significance in the theoretical,operational and practical aspects of the pricing of convertible bonds.