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2011•Journal of Kunming Metallurgy CollegeRequires access

Convertible Bond Pricing Mode Based on Black-scholes Model

Lin Yu

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Abstract

Convertible bond is an important form in financial ramification.It is widely used in practice.With analysis of the value components of convertible bond,the paper made hypothesis and assessed a price on convertible bond value based on Black-Scholes Model.It assessed the convertible bond with two groups of examples.The result showed that the estimated value was close to the issue price of convertible bond.This pricing method can provide reference for the measurement of the issue price.

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What this paper is about

Convertible bond is an important form in financial ramification.It is widely used in practice.With analysis of the value components of convertible bond,the paper made hypothesis and assessed a price on convertible bond value based on Black-Scholes Model.It assessed the convertible bond with two groups of examples.The result showed that the estimated value was close to the issue price of convertible bond.This pricing method can provide reference for the measurement of the issue price.

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Available abstract

Convertible bond is an important form in financial ramification.It is widely used in practice.With analysis of the value components of convertible bond,the paper made hypothesis and assessed a price on convertible bond value based on Black-Scholes Model.It assessed the convertible bond with two groups of examples.The result showed that the estimated value was close to the issue price of convertible bond.This pricing method can provide reference for the measurement of the issue price.

Key concepts: Convertible bond, Convertible, Embedded option, Bond valuation, Black–Scholes model, Convertible arbitrage, Bond, Financial economics

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