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2007•Journal of Harbin University of CommerceRequires access

A Survey of The Convertible Bond Pricing Theory And Based On the B-S Option Model's Applied Research

Huiwen Zou

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Abstract

Convertible bond(CB) is a rather complicated kind of credit derivative.The domestric and foreign scholars haven't yet precise priced the China's CB.This paper is survey the convertible bond prcing theories,and bases on the single factor pricing model,then use the Black-Scholes option pricing model,finally carries out an empirical research on the China Merchants Bank'convertible bond,The empirical result is the same with most of scholars' research :CBs in China are significantly underpriced.

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Convertible bond(CB) is a rather complicated kind of credit derivative.The domestric and foreign scholars haven't yet precise priced the China's CB.This paper is survey the convertible bond prcing theories,and bases on the single factor pricing model,then use the Black-Scholes option pricing model,finally carries out an empirical research on the China Merchants Bank'convertible bond,The empirical result is the same with most of scholars' research :CBs in China are significantly underpriced.

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Available abstract

Convertible bond(CB) is a rather complicated kind of credit derivative.The domestric and foreign scholars haven't yet precise priced the China's CB.This paper is survey the convertible bond prcing theories,and bases on the single factor pricing model,then use the Black-Scholes option pricing model,finally carries out an empirical research on the China Merchants Bank'convertible bond,The empirical result is the same with most of scholars' research :CBs in China are significantly underpriced.

Key concepts: Convertible bond, Convertible, China, Empirical research, Economics, Financial economics, Derivative (finance), Bond

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