SPA-Based Investigation on Pricing Model of Convertible Bonds

Convertible bond is a hybrid derivative security, involving the characteristics of both common corporate bonds and stocks. With the common pricing model, the market price be always underestimated. As a result, it debases the reliability of the models. Based on set-pair-analysis method, this paper chooses B-S model and option exchanges model to identify and modify them. Adopted by the empirical test, the new model is more applicability.