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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49007
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49007


    Title: 可轉債交易策略實證研究
    The empirical study of convertible arbitrage
    Authors: 鍾明希
    Contributors: 陳松男
    鍾明希
    Keywords: 可轉債交易策略
    可轉債評價模型
    Derman模型
    可轉債避險參數計算
    Date: 2009
    Issue Date: 2010-12-08 01:56:53 (UTC+8)
    Abstract: 可轉債套利,為避險基金常用的操作技巧。其操作方式,為買進一可轉債,賣出若干標的股票。若是放空標的股數計算正確的話,未來不論標的股價上漲或下跌,投資組合都會有獲利,而本文目的為計算出所需放空的標的股數。

    本文使用CRR(1979) 和Derman(1994) 模型,在經過路徑相依條約調整後,使用OAS參數做校準,以求得所需放空標的股數。在實證方面,本研究選取鴻海一(23171)、聯強一(23471)、佳能一(23741)做研究,結果顯示經校準過後所計算出的避險參數值,效果可用於可轉債套利操作所需,且兩個模型的效果並沒有顯著的差異。此外,可轉債的流動性對於模型計算避險比率的精準度,也沒有顯著的影響。
    Reference: Chambers, Donald R. and Lu, Qin(2007), "A tree model for pricing convertible bonds with equity, interest rate, and default risk", Journal of Derivatives.
    Grimwood, Russell and Hodges, Stewart (2002), “The valuation of convertible bond: a study of alternative pricing models”, Technical report, Warwick Business School.
    Hung, Mao-Wei and Wang, Jr-Yan(2002), "Pricing convertible bonds subject to default risk", Journal of Derivatives.
    Finger, Pan Lardy Ta, Finkelstein and Tierney (2002), “Creditgrades technical document”, Technical report, RiskMetrics Group.
    Derman(1994), "Valuing convertible bonds as derivatives", Technical report, Goldman Sachs.
    McConnell, John J. and Schwartz, Eduardo S. (1986), “Lyon taming”, Journal of Finance.
    陳松男(2009),固定收益證券與衍生產品,新陸書局
    陳松男(2006),初階金融工程學與Matlab、C++電算應用,新陸書局
    陳松男(2005),金融工程學(二版)-金融商品創新與選擇權理論,新陸書局
    劉昶輝(2009),考慮信用風險之可轉債評價研究,政大金融所碩士論文
    林忠機、張傳章、俞明德、黃一仁(2006),"具有隱含選擇權之海外可轉換公司債評價分析",Journal of Financial Studies.
    Description: 碩士
    國立政治大學
    金融研究所
    97352008
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097352008
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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