基于Black-Scholes模型可转债定价的研究

Research on Convertible Bonds Pricing Based on the Black-Scholes Model

摘要: 可转换债券具有债券性、股权性和可交换性，因此其定价问题也受到很多投资者所青睐。文章在Black-Scholes模型的基础上，利用整体定价法，将可转债的路径进行分解，得到了可转债的定价模型，并推导了定价公式。在实证分析中，以塞力转债为例，对可转债的价格进行了研究。结果表明，股票价格、波动率均与可转债价格成正相关关系，并且可转债的理论价格高于实际价格。

Abstract: Convertible bond has the characteristics of bond, equity, and exchangeability, so its pricing is also favored by many investors. Based on the Black-Scholes model, this paper uses the integral pricing method to decompose the path of convertible bonds, obtains the pricing model of convertible bonds, and deduces the pricing formula. In the empirical analysis, the price of the convertible bond is studied by taking the Saili convertible bond as an example. The results show that the stock price and volatility are positively correlated with the price of convertible bonds, and the theoretical price of convertible bonds is higher than the actual price.