| dc.contributor.advisor | 陳威光 | zh_TW |
| dc.contributor.author (Authors) | 羅紹玫 | zh_TW |
| dc.creator (作者) | 羅紹玫 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:56:51 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:56:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:56:51 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097352006 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49005 | - |
| 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) | 97352006 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.description.tableofcontents | 1. Introduction 5 2. Literature Review 7 3. Methodology 12 3.1 The Equity Model 12 3.2 The Default Process 15 3.3 Parameter Settings 17 3.4 Valuation 19 4. Empirical Study 21 4.1 Convertible Bond Issued by Evergreen Marine Corp. 21 4.2 Convertible Bond issued by Parker Drilling Corp. 26 5. Conclusion and Suggestion 30 5.1 Conclusion 30 5.2 Suggestion 31 References 33 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352006 | en_US |
| dc.subject (關鍵詞) | 可轉債 | zh_TW |
| dc.subject (關鍵詞) | CEV過程 | zh_TW |
| dc.subject (關鍵詞) | 信用風險 | zh_TW |
| dc.title (題名) | 考慮信用風險之可轉債評價：股價遵循CEV過程 | zh_TW |
| dc.title (題名) | Pricing convertible bonds with credit risk under CEV process | en_US |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 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. | zh_TW |
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