This thesis has dealt with valuation problem as the central figure, which is the basis of the study of the security, on the subject of domestic CBs issued to the domestic investors and oversea CBs issued to the oversea investors by Korean companies. Especially, in the case of domestic CB, notwithstanding continuous issuances (oversea CBs have been transacted actively, but have not been issued any more) secondary markets have not played its role as it should because of thin layer of investors resulted from the lack of understanding and insufficiency of transaction system. Precisely, it is determination of terms of issue which depends only on usual practice on account of complex terms of issue, and complex factors which affect the prediction of price that makes investors' access to CBs difficult all the more.
Research attempting to explain CB prices has had a long and varied history. This thesis derived partial differential equation and boundary conditions necessary for valuation of Korean CBs using CCA (Contingent Claim Analysis), and it was solved using Numerical Analysis. It was established that the model predicts actual market prices, and the model was used to price new and untraded CBs, to infer firm values from prices of traded claims like common stocks, to predict strategies of conversion, call, put, and to show comparative statics of parameters of model.
