| Abstract: | 論文名稱：可轉換公司債存續期間之分析
校所組別：國立政治大學金融研究所
畢業時間：九十年度第二學期
提要別：碩士學位論文提要
研究生：陳嘉霖
指導教授：陳松男博士
論文提要及內容：
本研究在分析可轉債的存續期間，在存續期間的衡量上是採用有效存續期間法；而在可轉換公司債的評價上，假設股票價格服從幾何布朗寧運動，無風險利率的變動符合Hu1I-white利率模型，並且考量利率與股票報酬之間的相關性，建立可轉換公司債評價六元樹形圖。
本研究分別針對到期期限長短、價內外程度、股價波動度、利率波動度、股價與利率相關係數及票面利率等六項參數，作可轉換公司債存續期間的敏感度分析，研究結果為：1 加入贖回條款後，可轉債的存續期間高於未加任何條款下的可轉債存續期間。2 加入賣回條款後，可轉債的存續期間低於未加任何條款下的可轉債存續期間。3 加入贖回及賣回候款後，可轉債的存續期間會介於僅含贖回條款與僅含賣回條款的存續期間之中。4 距到期日愈長可轉債的存續期間愈高。5 愈價外的可轉債其存續期間愈高。6 股票波動度愈高，可轉債的存續期間愈低。7 利率波動度增加則可轉債的存續期間上升。8 股票價格與利率相關係數由正至負，可轉債的存續期間上升。9 若贖回權愈小，則票息上升會增加可轉債的存續期間。
關鍵字：可轉換公司債、存續期間、有效存續期間、六元樹、Hull-white、利率模型
Title of Thesis: Anatomy of the Convertible Bond Duration
Name of Institute: Graduate Institute of Money and Banking, NCCU
Graduate Date: June, 2002
Name of Student: Chen, Chia-Lin
Advisor: Dr. Chen, Son-Nan
Abstract:
This thesis uses effective duration method to anatomize the convertible bond duration. With the assumptions that stock price follows Geometric Brownian Motion and risk-free interest rate follows Hull and White model, we built a hexanomial tree to value the convertible bond.
This thesis analyses the effects of the six parameters . They are maturity date, the ratio of the stock price versus the strike price, the correlation between stock return and interest rate, stock return volatility, interest rate volatility, and coupons. The conclusions include nine points. First, the value of convertible bond duration including call clauses is higher then pure convertible bond duration. Second, the value of convertible bond duration including put clauses is lower than pure convertible bond duration. Third, the value of convertible bond duration including both call and put clauses is between only including call or put clauses ones. Fourth, the longer the time to maturity is, the higher the convertible bond duration is. Fifth, the higher the ratio of the strike price versus the stock price is , the higher the convertible bond duration is. Sixth, the higher the stock volatility is , the lower the convertible bond duration is. Seventh, the higher the interest rate volatility is , the higher the convertible bond duration is. Eighth, the value of the correlation between stock return and interest rate increases from a negative value to a positive one, then the convertible bond duration increases. Ninth, if the value of call right is very small , the convertible bond duration will increase by the increasing of the coupon .
Keywords: Convertible Bond, Duration, Effective Duration, Hexanomial Tree, Hull and White Interest Rate Model |
