Empirical Analysis of Convertible Bond Pricing and Arbitrage Based on Black-Scholes Model

Simo Li

2024

Abstract

A convertible bond is a special financial instrument. In China, the size of the convertible bond market continues to grow. However, due to the dual characteristics of stocks and bonds, there are complications in pricing. There are currently a variety of convertible bond pricing methods, including the Black-Scholes model, binary tree model, etc. This article uses the Black-Scholes model and takes the convertible bond Chongda zhuan 2 as an example to research the pricing of convertible bonds, calculate the bond value and option value of this convertible bond, and analyzes the investment opportunities of convertible bonds by contrasting the variation between the theoretical value and the real price. The research on convertible bond pricing in academic circles is biased towards theory. The efficiency of the convertible bond market can be improved and investment possibilities in the convertible bond market can be explored with the aid of data-based research on pricing.

Paper Citation

in Harvard Style

Li S. (2024). Empirical Analysis of Convertible Bond Pricing and Arbitrage Based on Black-Scholes Model. In Proceedings of the 1st International Conference on Data Science and Engineering - Volume 1: ICDSE; ISBN 978-989-758-690-3, SciTePress, pages 132-136. DOI: 10.5220/0012829300004547

in Bibtex Style

@conference{icdse24,
author={Simo Li},
title={Empirical Analysis of Convertible Bond Pricing and Arbitrage Based on Black-Scholes Model},
booktitle={Proceedings of the 1st International Conference on Data Science and Engineering - Volume 1: ICDSE},
year={2024},
pages={132-136},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012829300004547},
isbn={978-989-758-690-3},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Data Science and Engineering - Volume 1: ICDSE
TI - Empirical Analysis of Convertible Bond Pricing and Arbitrage Based on Black-Scholes Model
SN - 978-989-758-690-3
AU - Li S.
PY - 2024
SP - 132
EP - 136
DO - 10.5220/0012829300004547
PB - SciTePress