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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33974


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33974


    Title: 海外可轉換公司債的評價-考慮平均重設條款、信用風險及利率期間結構
    Authors: 張世東
    CHANG SHIH TUNG
    Contributors: 陳威光
    江彌修


    張世東
    CHANG SHIH TUNG
    Keywords: 海外可轉換公司債
    最小平方法蒙地卡羅模擬
    Hull-White利率三元樹
    信用簡約模型
    平均重設條款
    European Convertible Bond
    Least Square Monte Carlo Simulation
    Hull-White Interest-Rate Tree
    Credit Risk Induce Form
    Average Reset Contract
    Date: 2002
    Issue Date: 2009-09-17 18:59:13 (UTC+8)
    Abstract: 影響海外可轉換公司債的因素有許多，包括股價、國內利率、國外利率、匯率，若將時間變數也加入計算，其變動因子高達5階，這種「高維度」的問題已非有限差分法或樹狀方法能處理；且海外可轉債常附有平均式條款、回顧式條款等「路徑相依」性質的選擇權，更是格狀結構數值法(Lattice)難以處理的問題。若使用蒙地卡羅模擬，雖然可以處理高維度及路徑相依的問題，但遇到美式契約時，則會有無法判斷轉換時點的問題，更遑論還必須處理的重設條款或界限型契約。
    本論文研究海外可轉換公司債的評價，特點是可以處理其契約中各種可能的複雜條款，本文所使用的最小平方蒙地卡羅模擬，由Longstaff and Schwartz [2000]提出，對於美式契約、路徑相依及高維度問題皆可處理。本文並以Hull and White利率三元樹配適公司債利率符合市場利率期間結構。此外本研究加入海外可轉換公司債評價中最重要的信用風險因素，過去可轉債文獻理論價格大都高於實際市價，這是由於忽略了公司的信用風險溢酬，本文所使用的信用風險模型是由Lando [1998]所提出，特點是不以信用等級作為考量，探討公司特性與所屬產業，並考慮總體因素對違約機率的影響，從市場價格中估計違約密度參數，進而求得信用價差。
    本研究對仁寶電腦在2002年所發的ECB做實證研究，比較LSM理論價格與實際市價之誤差，及對Takahashi[2001]所提出之歐式模型做比較，發現本文提出模型之評價結果相當不錯，誤差僅有0.83%；此外並對建華金控2002所發之ECB，探討各種複雜新奇條款對ECB價格的影響，發現市場上嚴重低估了重設條款所提高的價值，而實際市價卻十分接近僅含賣回條款的理論價格。
    Reference: 參考文獻
    1. Brennan, M., and E. Schwartz. “Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion.” Journal of Finance, 32(1977), pp. 1699-1715.
    2. ——. “Analyzing Convertible Bonds.” Journal of Financial and Quantitative Analysis, 15(1980), pp. 907-929.
    3. Hull, J. and A. White. “Using Hull-White Interest Rate Trees. “ Journal of Derivatives, Spring 1996, pp. 27-36.
    4. Hung, M. W. and J. Y. Wang. ”Pricing Convertible Bonds Subject to Default Risk.” Journal of Derivative, Winter 2002, pp. 75-87.
    5. Janosi, T., Jarrow, R. and Y. Yildirim. “Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices.” Journal of Risk, Vol.5, No. 1, Fall 2002
    6. Jarrow, R. A. and F. Yu. ”Counter party risk and defaultable securities.” Journal of Finance. OCT. 2001, vol. LVI, No. 5,1765-1799.
    7. Lando, D.“On Cox processes and Credit Risky Securities.”Review of Derivatives Research. 1998, 2, 99-120.
    8. Longstaff, F. A. and E. S. Schwartz. “Valuing American Options by Simulation: A simple Least-Squares Approach.” The Review of Financial Studies. Spring 2001 Vol. 14, No. 1, pp. 113-147.
    9. Moreno, M. and J. F. Navas. “On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives.” working paper, Pompeu Fabra University. March 2001.
    10. Takahashi, A., Kobayashi T., and N. Nakagawa. ”Pricing Convertible Bonds with Default Risk.” The journal of Fixed income, December 2001, pp. 20-29.
    11. Tavella, D. “Quantitative Method in derivatives pricing-An Introduction to Computational Finance.” Published by John Wiley & Sons, Inc. 2002, pp. 188-206.
    12. Tsitsikilis, J. N. and B. Van Roy. “Regression Methods for Pricing Complex American-Style Options.” working paper, Stanford University, August 2000.
    13. Tsiveriotis, K., and C. Fernandes. ”Valuing Convertible Bonds with Credit Risk.” The journal of fixed income, September 1998, pp. 95-102.
    14. Yigitbasioglu, A. B. “Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk.” ISMA Centre Discussion Papers In Finance, 2001,14.
    Description: 碩士
    國立政治大學
    金融研究所
    90352002
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090352002
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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