Research on Pricing Model of Chinese Convertible Bonds

Abstract

This paper aims to create a new model for convertible bond pricing based on convertible bond rules and convertible bond strategies. And based on the concept of value investment, this paper analyzes and deduces various situations of convertible bonds by using future cash flow discount thinking. In addition, two new options that achieve the conditional call price and options that exceed the conditional call price are presented, and a more flexible formulation of the model for computing the price of convertible bonds is derived. However, this model requires the user to have some experience with convertible bonds. This might make a bit of sense for academic development and could help people better understand and participate in the convertible bond market.