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題名 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 貢獻者 林士貴
柯秉誠關鍵詞 二因子模型
六元樹狀圖
實證分析日期 2015 上傳時間 13-Jul-2015 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 資料類型 thesis dc.contributor.advisor 林士貴 zh_TW dc.contributor.author (Authors) 柯秉誠 zh_TW dc.creator (作者) 柯秉誠 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 13-Jul-2015 11:08:41 (UTC+8) - dc.date.available 13-Jul-2015 11:08:41 (UTC+8) - dc.date.issued (上傳時間) 13-Jul-2015 11:08:41 (UTC+8) - dc.identifier (Other Identifiers) G0102352027 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76429 - 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) 102352027 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (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 zh_TW dc.description.tableofcontents 摘要........................................................I 致謝.......................................................II 目錄......................................................III 表目錄 .................................................IV 圖目錄 .................................................IV 1 緒論...................................................1 1.1 研究動機與背景...................................1 1.2 研究目的.........................................3 1.3 研究架構.........................................3 2 文獻回顧...............................................4 2.1 結構式評價方法...................................4 2.2 首次通過模型.....................................4 2.3 縮減式評價模型...................................6 2.4 CCR樹狀模型的介紹................................8 2.5 Vasicek利率模型的介紹............................9 2.6 結構式違約模型介紹..............................10 3 研究方法..............................................11 3.1 一因子樹狀圖及蒙地卡羅模擬假設及架構............11 3.2 二因子樹狀圖及蒙地卡羅模擬假設及架構............15 4 實驗結果與分析........................................23 4.1 各模型與現實狀況比較............................23 4.2 各模型因子敏感度分析............................28 5 結論以及後續研究發展..................................32 5.1 結論............................................32 5.2 後續研究發展....................................32 6 參考文獻..............................................34 7 附錄..................................................36 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352027 en_US dc.subject (關鍵詞) 二因子模型 zh_TW dc.subject (關鍵詞) 六元樹狀圖 zh_TW dc.subject (關鍵詞) 實證分析 zh_TW dc.title (題名) 多因子蒙地卡羅與樹狀圖模型評價可轉換公司債 zh_TW dc.title (題名) Multi-factor Monte Carlo and dendrogram model to evaluate convertible bonds en_US dc.type (資料類型) thesis en dc.relation.reference (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. zh_TW
