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    题名: 多因子蒙地卡羅與樹狀圖模型評價可轉換公司債
    Multi-factor Monte Carlo and dendrogram model to evaluate convertible bonds
    作者: 柯秉誠
    贡献者: 林士貴
    柯秉誠
    关键词: 二因子模型
    六元樹狀圖
    實證分析
    日期: 2015
    上传时间: 2015-07-13 11:08:41 (UTC+8)
    摘要: 本文建構兩種評價模型：蒙地卡羅模型及樹狀圖模型描述在隨機利率及信用風險下評估可轉換公司債的價值並比較市場狀況以及各種因子的敏感性
    參考文獻: 中文文獻

    [1]陳國榮、葉仕國(1999) 以Hull and White利率模型評價可轉換公司債
    [2]曾右仲(2009) 利用三因子樹狀模型評價可轉換公司債
    [3]劉育廷(2010) 結合結構式模型及縮減式模型評價可轉換公司債
    [4]倪健翔(2013) 利用結構式模型來評價可轉換公司債

    英文文獻

    [1] Black, F. and J.C. Cox (1976) Valuing corporate securities: Some effects of bond indenture provisions, Journal of Finance 31, 351-367.
    [2] Briys, E., and De Varenne, F.(1997)“Valuing Risky Fixed Rate Debt：An Extension,”Journal of Finance and Quantitative Analysis, 32, 239-248,
    [3] Chambers, D.R. and Q. Lu. (2007): “A Tree Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk,” The Journal of Derivatives, 4 (Summer 2007), 25–46.
    [4] Dai, T. S. “Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair Tree. ” Quantitative Finance, Volume 9, Issue 7 October 2009 , pages 827 – 838
    [5] Damiano Brigo and Fabio Mercurio（2006）: “Interest rate models: theory and practice, Springer Verlag New”
    [6] Hull, J., and A. White (1996)“Using Hull-White Interest-Rate Trees,” Journal of derivatives, 3, 26-36
    [7] Hull, J.(2006) Options, Futures, and Other Derivatives 6Th. Englewood Cliffs, NJ Prentice-Hall.
    [8] Hung, M.W. and J.Y. Wang. (2002) “Pricing Convertible Bond Subject to Default Risk.” Journal of derivative, pp. 75-87.
    [9] Jarrow, R. A. and S. M. Turnbull (1995) “Pricing derivatives on financial securities subject to credit risk.” Journal of Finance 3, 93-115.
    [10] Kunitomo, N. and Ikeda, M. (1991) “Pricing Option with Curve Boundaries.”, working paper
    [11] Merton, R.C. (1974) “On the Pricing of Corporate Debt: The Risk Structure of interest.”Journal of Finance, 449-470
    [12] Thomas S. Y. Ho and Sang-Bin Lee（1986）:Term Structure Movements and Pricing Interest Rate Contingent Claims. The Journal of Finance, Vol. 41, No. 5. (Dec., 1986), pp. 1011-1029.
    [13] Das & Hanouna (2009) “Implied recovery”, 5-6.
    描述: 碩士
    國立政治大學
    金融研究所
    102352027
    103
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0102352027
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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