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Theoretical Analysis of Convertible Bonds

Author: ZengZiZuo
Tutor: YeYongGang
School: Wuhan University
Course: Finance
Keywords: convertible bonds theoretical analysis pricing Black-Scholes option pricing
CLC: F830.9
Type: Master's thesis
Year: 2003
Downloads: 278
Quote: 2
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Abstract


It’s of great importance both in theory and practice to study on convertible bond, which developed very rapid since last year in China and still aroused misunderstanding and problems in pricing. In this paper, in-depth research is devoted on the essence of convertible bonds based on the academic knowledge learned in graduate years. Some points of view are delivered from such aspects as financial engineering and tfinancing theory. And efforts are made to clarify some misunderstandings. Then, a systematic research is made on the development of pricing theory of convertible bonds. An introduction is made on the separation pricing method of hybrid bonds and Black-Scholes option pricing model. Finally, the empirical analysis of convertible bonds invested in Chinese Security Market is made to reveal the reasonable design of pricing model of convertible bonds.The paper is divided into four parts:1. Part 1: The general introduction of convertible bonds. The definition, features, merits and flaws of convertible bonds are expounded. The development of convertible bonds market both at home and abroad are introduced.2. Part 2: the basic theoretical analysis of convertible bonds. Taking financial engineering theory and corporate finance theory into practice, the aim of convertible bonds in financing and its essence as options are analyzed. Also, portfolio theory is applied to analyses the convertible bonds fund.3. Part 3: review of convertible bonds pricing theories. Firstly, the theoretical basis of convertible bonds pricing is analyzed. Then, the development of convertible bonds pricing theories is expatiated from one-aspect to multi-aspect, from corporate value to stock value. Finally, the development of convertible bonds theory in China is also summarized.4. Part 4: the convertible bonds pricing model and the empirical analysis of convertible bonds invested in Chinese security market. Based on the conclusion in part 2, the separation pricing method of hybrid bonds and Black-Scholes option pricing model is introduced to convertible bonds pricing. Finally, the empirical analysis of convertible bonds invested in Chinese security market is made with an example and the potential modification is delivered.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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