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Empirical Study on the Pricing of Convertible Bonds in China ——Based on B-S Option Pricing Model

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DOI: 10.25236/emcs.2018.118


Yue Wang

Corresponding Author

Yue Wang


This paper mainly describes the particularity of China's bond market, compared with the mature market in the United States, China's market is both well and bad, compared to the stock market,the advantage of the convertible bond market has the characteristics of high yield and low risk, and it has a huge space for development; The disadvantages are small convertible bonds market size, low maturity degree,and imperfect system. The article also summarizes the latest literature on convertible bonds, which can be our understanding of the latest progress in the study of convertible bonds.2017 was a year of deepening reform in China, the CSRC adjusted the issue of convertible bonds in May, and revised the measures for the administration of securities issuance ,we also explained and analyzed it. The convertible bond pricing model based on B-S option pricing model can be simulated by 28 datas, and conclude the model which simulate the value of convertible bond is better.


Pricing of Convertible Bond,B-S model, the development process.