English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51626439      Online Users : 579
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49005


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49005


    Title: 考慮信用風險之可轉債評價：股價遵循CEV過程
    Pricing convertible bonds with credit risk under CEV process
    Authors: 羅紹玫
    Contributors: 陳威光
    羅紹玫
    Keywords: 可轉債
    CEV過程
    信用風險
    Date: 2009
    Issue Date: 2010-12-08 01:56:51 (UTC+8)
    Abstract: In order to construct a model to price convertible bonds, a hybrid security with complicated provisions, this study concentrates on the way of depicting the equity and the default process. The Constant Elasticity of Variance model (CEV model) which modifies the assumption of constant volatility to capture the negative relationship between the stock price and the variance is applied. The default process integrates the information from both equity and debt market by setting the default intensity model to endogenize the default process into the pricing model.
    The tree structure is built by a manner of variable transformation. After considering all information and deciding whether the provisions to be executed on each node, then the value of convertible bond could be calculated in a backward-induction fashion. Two trading convertible bonds are chosen to examine the practicality of this model and the empirical result shows that this model fit the market value well. The sensitivity analysis suggests that the coefficient of leverage effect does affect the value of convertible bond in an inverse direction and other parameters are not significantly sensitive to the value of convertible bond.
    Reference: 1. Ayache, E., P.A. Forsyth, and K.R. Vetzal (2003). “Valuation of Convertible Bonds with Credit Risk”, Journal of Derivatives, 11, 1, 9–29.
    2. Beckers, S. (1980). “The constant elasticity of variance model and its implications for option pricing”, Journal of Finance, 35, 661–673.
    3. Brennan, M. J. and E.S. Schwartz (1977). "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion", Journal of Finance, 32, 1699–1715.
    4. Brennan, M. J. and E.S. Schwartz (1980). "Analyzing Convertible Securities", Journal of Financial and Quantitative Analysis, XV, 4, 907–929.
    5. Brigham, E. F. (1966). “An Analysis of Convertible Debentures: Theory and Some Empirical Evidence”, Journal of Finance, 21, 35–54.
    6. Carayannopoulos, P. and M. Kalimipalli (2003). “Convertible Bonds and Pricing Biases", Journal of Fixed Income, 13, 3, 64–73.
    7. Chamber, D. and Q. Lu (2007). “A Tree Model for Pricing Convertible Bond with Equity, Interest Rate, and Default Risk”, Journal of Derivatives, 14, 4, 25–46.
    8. Cox, J. (1975) “Notes on option pricing I: constant elasticity of variance diffusions”, Working Paper, Stanford University.
    9. Das S.R., and R.K. Sundaram (2007). “An Integrated Model for Hybrid Securities”, Management Science, 53, 1439–1451.
    10. Derman, E. (1994). “Valuing Convertible Bonds as Derivatives”, Technical report, Goldman Sachs.
    11. Hung, M.W. and J.Y. Wang (2002). “Pricing Convertible Bond Subject to Default Risk”, Journal of Derivatives, 10, 2, 75–87.
    12. Ingersoll, J. (1977). “An Examination of Corporate Call Policies on Convertible Securities”, Journal of Finance, 32, 463– 478.
    13. Kang, JK., and Yul W. Lee (1996). “The Pricing of Convertible Debt Offerings”, Journal of Financial Economics, 41, 2, 231–248.
    14. Liu, C.H. (2009). “Valuation of Convertible Bonds with Credit Risk”, National Cheng Chi University, Dep. of Money and Banking, Master Thesis.
    15. McConnell J. J. and E. S. Schwartz (1986). “LYON Taming”, Journal of Finance, 41, 561–576.
    16. Nelson, D. and K. Ramaswamy (1990). “Simple Binomial Processes as Diffusion Approximations in Financial Models,” The Review of Financial Studies, 3, 3, 393-430.
    17. Nyborg, K. G. (1996). “The Use and Pricing of Convertible Bonds”, Applied Mathematical Finance, 3, 167–190.
    18. Schmalensee R. and R. R. Trippi (1978). “Common stock volatility expectations implied by option premia.” Journal of Finance, 33, 129–147.
    19. Tsiveriotis, K. and C. Fernandes (1998). “Valuing Convertible Bonds with Credit Risk”, Journal of Fixed Income, 8, 3, 95–102.
    Description: 碩士
    國立政治大學
    金融研究所
    97352006
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097352006
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2179View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback