| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | 廖四郎 | zh_TW |
| dc.creator (作者) | Liao, Szu-Lang ; Tsai, Ming-Shann ; Chen, Jun-Home ; Li, Chia-Huang | en_US |
| dc.date (日期) | 2012.06 | en_US |
| dc.date.accessioned | 13-Nov-2013 17:46:35 (UTC+8) | - |
| dc.date.available | 13-Nov-2013 17:46:35 (UTC+8) | - |
| dc.date.issued (上傳時間) | 13-Nov-2013 17:46:35 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/61675 | - |
| dc.description.abstract (摘要) | Due to the reason that the default events occurred constantly and still continue taking place, empirical log returns exhibit fat tail and excess kurtosis, this paper evaluates convertible bonds under Lévy process with default risk using the reduced-form approach. Under the Lévy process, the underlying stock prices are set to be normal inverse Gaussian (NIG) and variance Gamma (VG) model to capture the jump components. In the empirical analysis, we use the maximum likelihood method to estimate the parameters of Lévy distributions, and apply the least squares Monte Carlo Simulation to price convertible bonds. Five examples are shown in pricing convertible bonds using the traditional model and Lévy model. The empirical results show that the performance of Lévy model is better than the traditional one. | en_US |
| dc.format.extent | 3495929 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of the Chinese Statistical Association, 50(2) , 48-70 | en_US |
| dc.subject (關鍵詞) | Lévy process ; credit risk ; convertible bond ; least squares Monte ; Carlo Simulation | en_US |
| dc.title (題名) | Valuation of Convertible Bond Under Levy Process with Default Risk | en_US |
| dc.type (資料類型) | article | en |
