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Empirical Research on the Case Pricing of Convertible Bonds of Listed Companies in China

Author: FengLan
Tutor: QinZhiHong
School: Inner Mongolia University
Course: Political Economics
Keywords: Convertible bonds Binomial Model Pricing Options
CLC: F832.5
Type: Master's thesis
Year: 2005
Downloads: 239
Quote: 0
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Abstract


Convertible bond is a characteristic of both stocks and bonds complex , widely used financial instruments. If the issuer does not default, then convert the bond into the possibility of a certain number of shares to investors with limited potential loss share income rose . Convertible bond pricing is the most important and the most difficult problems. Convertible bonds often contain other embedded options, such as redemption and putable . These options embedded in a variety of ways , resulting in convertible bonds is more complex. In this paper, mature foreign option pricing theory and the theory of the convertible bond pricing basis , according to the convertible bond market in China 's actual situation, China is now traded on the \pricing for the binomial model . This paper is divided into five chapters: The first chapter introduces the general concept of convertible bonds , the nature and pricing theory of history. Chapter II compares and summarizes the option component of convertible bond prices to determine the classical theory , this paper clarifies the reasons binomial model . The third chapter explains the principles of sample selection , and a list of sample data and parameter estimation results. Chapter Two of China listed convertible bonds - \This article uses the binary tree model that can explain all the important convertible bond terms , and therefore more suitable for the pricing of convertible bonds .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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