Research On The Pricing Of Convertible Bonds Based On B-S Model

In recent years,the pricing of convertible bonds has become the focus of widespread concern.B-S model,as one of the options pricing models,is gaining more and more recognition.In addition,by comprehensive comparison,B-S model has strong applicability to the pricing of convertible bonds,and optimization and improvement of B-S model can further improve its pricing efficiency.Therefore,this thesis selects the typical GAC convertible bond as an example,uses B-S model to study its pricing,analyzes the pricing deviation of convertible bonds,and explores the measures to solve the value deviation problem.The core research method of this thesis is case study.On the premise of literature review and theoretical research,several pricing methods that are relatively mature are compared.Finally,considering the special nature of convertible bonds in China,B-S options pricing model is chosen as the pricing method of GAC convertible bonds.Taking the first day of convertible bond listing and 37 time nodes in the past three years as the time basis,the pricing study of GAC convertible bond was carried out.Meanwhile,in the process of empirical research,the influence of convertible bond terms on part of options value was considered,including redemption terms and resale terms,and a more localized and expanded B-S options pricing model was established.The results show that B-S options pricing model for convertible bonds pricing in our country have very good fitting effect,calculated the GAC bond that basic convergence theory value and the actual price trends,B-S options pricing model for convertible bonds pricing research has certain applicability.It is found that the theoretical value of GAC convertible bonds considering the impact of terms has a better fitting effect on the actual price,and the average deviation degree is small,but there is still a deviation between the theoretical value of GAC convertible bonds and the actual price.The reasons for the deviation study of the pricing of GAC convertible bonds are as follows:Firstly,the B-S options pricing model has an objective influence that cannot be completely avoided and cannot fully conform to the actual situation of convertible bonds in China;Secondly,GAC lacks innovation in terms of design;Thirdly,the lack of a sound shorting mechanism;Fourthly,China’s convertible bond market has a certain influence on the pricing of convertible bonds.According to the GAC bond value deviation causes puts forward relevant countermeasures and suggestions,firstly,the value deviation caused by the objective influence of B-S pricing model should be minimized,and the B-S model should be adjusted locally,issuers should be to choose the issue of convertible bonds,and according to oneself circumstance with various factors to adjust the terms of convertible bonds,innovation in terms of the convertible bond.Secondly,from a macro-perspective,the convertible bond market should be improved,the access standards of China’s convertible bond market should be adjusted appropriately,and a comprehensive shorting mechanism should be established in the convertible bond market,so as to improve the overall efficiency of the convertible bond market.It is hoped that this thesis can improve the effectiveness of convertible bond pricing and contribute to the study of convertible bond pricing in China.