| dc.contributor.advisor | 陳威光<br>江彌修 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (作者) | 張世東 | zh_TW |
| dc.contributor.author (作者) | CHANG SHIH TUNG | en_US |
| dc.creator (作者) | 張世東 | zh_TW |
| dc.creator (作者) | CHANG SHIH TUNG | en_US |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 17-九月-2009 18:59:13 (UTC+8) | - |
| dc.date.available | 17-九月-2009 18:59:13 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 18:59:13 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0090352002 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33974 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 90352002 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 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。 | zh_TW |
| dc.description.tableofcontents | 摘要………………………………………………………………….…..…..…11. 緒論…………………………………………………………….……….32. 最小平方法蒙地卡羅模擬…………………………….….……………62.1 理論架構……………………………………………………..…62.2 LSM效率改進研究………...………………………….….……93. 海外可轉債評價模型設定……………………………….....………...133.1 考慮股價、利率、匯率的可轉債模型………………………133.2 配適利率期間結構……………………………….….……..…173.3 信用風險模型……………………………………………..…..204. 海外可轉債評價實證…………….………………………...…..…..…254.1評價簡例……………………………………………………....….254.2仁寶ECB實證分析 …………………..…………………..….….344.3新奇條款的海外可轉債實證分析……………………………….395. 結論………………………………………………………....…..…..…45附錄………………………………………………………………....……..….46參考文獻…………………………………………………………....…..…….48 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090352002 | en_US |
| dc.subject (關鍵詞) | 海外可轉換公司債 | zh_TW |
| dc.subject (關鍵詞) | 最小平方法蒙地卡羅模擬 | zh_TW |
| dc.subject (關鍵詞) | Hull-White利率三元樹 | zh_TW |
| dc.subject (關鍵詞) | 信用簡約模型 | zh_TW |
| dc.subject (關鍵詞) | 平均重設條款 | zh_TW |
| dc.subject (關鍵詞) | European Convertible Bond | en_US |
| dc.subject (關鍵詞) | Least Square Monte Carlo Simulation | en_US |
| dc.subject (關鍵詞) | Hull-White Interest-Rate Tree | en_US |
| dc.subject (關鍵詞) | Credit Risk Induce Form | en_US |
| dc.subject (關鍵詞) | Average Reset Contract | en_US |
| dc.title (題名) | 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 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 參考文獻 | zh_TW |
| dc.relation.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. | zh_TW |
| dc.relation.reference (參考文獻) | 2. ——. “Analyzing Convertible Bonds.” Journal of Financial and Quantitative Analysis, 15(1980), pp. 907-929. | zh_TW |
| dc.relation.reference (參考文獻) | 3. Hull, J. and A. White. “Using Hull-White Interest Rate Trees. “ Journal of Derivatives, Spring 1996, pp. 27-36. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Hung, M. W. and J. Y. Wang. ”Pricing Convertible Bonds Subject to Default Risk.” Journal of Derivative, Winter 2002, pp. 75-87. | zh_TW |
| dc.relation.reference (參考文獻) | 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 | zh_TW |
| dc.relation.reference (參考文獻) | 6. Jarrow, R. A. and F. Yu. ”Counter party risk and defaultable securities.” Journal of Finance. OCT. 2001, vol. LVI, No. 5,1765-1799. | zh_TW |
| dc.relation.reference (參考文獻) | 7. Lando, D.“On Cox processes and Credit Risky Securities.”Review of Derivatives Research. 1998, 2, 99-120. | zh_TW |
| dc.relation.reference (參考文獻) | 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. | zh_TW |
| dc.relation.reference (參考文獻) | 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. | zh_TW |
| dc.relation.reference (參考文獻) | 10. Takahashi, A., Kobayashi T., and N. Nakagawa. ”Pricing Convertible Bonds with Default Risk.” The journal of Fixed income, December 2001, pp. 20-29. | zh_TW |
| dc.relation.reference (參考文獻) | 11. Tavella, D. “Quantitative Method in derivatives pricing-An Introduction to Computational Finance.” Published by John Wiley & Sons, Inc. 2002, pp. 188-206. | zh_TW |
| dc.relation.reference (參考文獻) | 12. Tsitsikilis, J. N. and B. Van Roy. “Regression Methods for Pricing Complex American-Style Options.” working paper, Stanford University, August 2000. | zh_TW |
| dc.relation.reference (參考文獻) | 13. Tsiveriotis, K., and C. Fernandes. ”Valuing Convertible Bonds with Credit Risk.” The journal of fixed income, September 1998, pp. 95-102. | zh_TW |
| dc.relation.reference (參考文獻) | 14. Yigitbasioglu, A. B. “Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk.” ISMA Centre Discussion Papers In Finance, 2001,14. | zh_TW |
