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| 研究生： |
柯秉誠 |
|---|---|
| 論文名稱： |
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 |
| 指導教授： | 林士貴 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2015 |
| 畢業學年度： | 103 |
| 語文別： | 中文 |
| 論文頁數： | 38 |
| 中文關鍵詞： | 二因子模型 、六元樹狀圖 、實證分析 |
| 相關次數： | 點閱：56 下載：0 |
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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
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
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.
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