B-S期权定价模型在可转换债券定价中的应用

Application of the B-S Option Pricing Model in the Valuation of Convertible Bonds

随着我国可转换债券市场的发展 ,可转债的定价问题日益为企业和投资者所关注。从布莱克_舒尔茨 (Black_Scholes)模型的基础上探讨了可转债的定价理论 ,并以西钢转债 (代码100117)为例 。

With the development of the market for convertible bonds in China,more and more corporate and investors have been concerned with the problem of the valuation of convertible bonds.This paper explores the pricing theory of convertible bonds based upon the Black_Scholes model,and compares the theoretical valˉue with the market value by taking Xigang convertible bonds(No.100117)for example.