标的股票在涨跌停板制度下的可转债定价分析-the pricing analysis of convertible bonds of the underlying stock under the system of limit and increase..docxVIP

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标的股票在涨跌停板制度下的可转债定价分析-the pricing analysis of convertible bonds of the underlying stock under the system of limit and increase..docx

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标的股票在涨跌停板制度下的可转债定价分析-the pricing analysis of convertible bonds of the underlying stock under the system of limit and increase.

AbstractConvertiblebondsreferredtoasCBwiththedualnatureofthebondsandoptions,whichisakindofcomplexfinancialderivatives.IthasanimportantpositioninourinvestmentandfinancingmarketandbecomesanintegralpartofChinassecuritiesmarket.Therefore,accuratepricingofconvertiblebondshasbeenoneofthekeyresearchesinthefieldofmicro-finance.Manyscholarsestablishedavarietyofpricingmodelsfromthenatureofthebonds.Moreaccuratetopricing,lotsofscholarsconsiderpricingmodelnotonlyfromthenatureoftheconvertiblebondsbutalsoallkindsofadditionaltermstakingintoaccountthepricingmodel.DuetothespecialenvironmentofChinassecuritiesmarket,thestockmarkethasasystemofpricelimits,andconvertiblebondsoftheunderlyingassetsisthecompanysstock,Pricelimitssystemisboundtoaffectthepricingofconvertiblebonds.However,bothforeignanddomesticresearchesarenotconsideredtheimpactofthesystemofpricelimitsonbondspricing.Therefore,theresearchdirectionandinnovationistheintroductionofthesystemofpricelimitsofthestockmarkettobondpricingmodel,throughempiricalanalysistoresearchtheeffectofpricelimitsonpricingconvertiblebonds.Thefirstchapterintroducestheresearchbackground,theconvertiblebondresearchsignificance,researchmethodsandinnovativepointofthisarticle.Themaincontentofsecondchapterisliteraturereview.Respectivelyintroducedpricingofconvertiblebonds’researchesandtheoriesofoptionpricingwhenunderlyingasset’spricelimits.Whenintroducetheconvertiblebondpricingtheory,authorexpoundforeignconvertiblebondpricingtheorysystemwhichisdividedintotwocategories:structuremethodandsimplemethodatfirst.Second,domesticconvertiblebondpricingtheoryisbasedonforeigntheory,soauthorhighlightssomeofmodelswhichconsideredtheactualsituationinChinaandmoreinfluentialtheoryinthisresearch.Then,adetaileddescriptionoftheoptionpricingtheoryunderthesystemofpricelimits.Inthethirdchapter,abriefintroductionofthehistoryandcontentofourstockpricelimitsystem,aswellasabriefintroductionoftheBSmodelandexplainthatBSmodeldoesnotconsiderChinasstockmarketpricelimitsystem.Then,electthemostsuit