可转换债券的定价及其影响因素的实证分析

作为我国证券市场上一种新兴的保值增值的投资工具 ,可转换债券具有债券和期权的双重特征 ,兼具筹资和避险的双重功能。引入这一融资工具 ,有助于培养正确的投资理念、平易证券市场的剧烈波动、促进我国证券市场的发展。了解可转债的定价原理以及影响其价格的因素有助于市场参与者制定成功的投资筹资策略 ,从而加快可转换债券的发展。本文以江苏阳光可转债为例 ,具体应用了B -S期权定价模型 ,并分析了其投资价值。

A Quantitative Analysis about the Pricing of Convertible Bonds and the Factors Influencing the Pricing

As an emerging investing tool in Chinese security market, Convertible Bond has the dual features of both bond and option, as well as the dual functions of financing and shelving the risk. The introduction of convertible bond will help us to foster more healthy investing concept, ease the drastic fluctuation and eventually promote the development of Chinese security market. By understanding the pricing model and the influencing factors of convertible bond, the market participators will be able to make strategies for their market behaviors. In this article, the B-S option pricing model has been applied in the example of the newly-issued convertible bond of JiangSu Sunshine Inc.to the analysis of its investment value.