English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94586/125118 (76%)
Visitors : 30520061      Online Users : 474
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/58335
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/58335

    Title: 考慮信用風險及Lévy過程之可轉換公司債評價
    Valuation of Convertible Bond under Lévy process with Default Risk
    Authors: 李嘉晃
    Li, Chia Huang
    Contributors: 廖四郎
    Liao, Szu Lang
    Li, Chia Huang
    Keywords: Lévy過程
    Lévy process
    credit risk
    convertible bond
    least squares Monte Carlo Simulation
    Date: 2012
    Issue Date: 2013-06-03 17:52:38 (UTC+8)
    Abstract: 由於違約事件不斷發生以及在財務實證上顯示證券的報酬率有厚尾與高狹峰的現象,本文使用縮減式模型與Lévy過程來評價有信用風險下的可轉換公司債。在Lévy過程中,本研究假設股價服從NIG及VG模型,發現此兩種模型比傳統的GBM模型更符合厚尾現象。此外,在Lévy過程參數估計方面,本文使用最大概似法估計參數,在評價可轉換公司債方面,本研究採用最小平方蒙地卡羅法。本文之實證結果顯示,Lévy模型的績效比傳統GBM模型佳。
    Due to the reason that the default events occurred constantly and still continue taking place, empirical log return distributions 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.
    Reference: Albrecher, H. and Predota, M. (2004). On Asian option pricing for NIG Levy processes, Journal of Computational and Applied Mathmatic,172, 153-168.
    Ammann, M., Kind, A. and Wilde, C. (2007). Simulation-based pricing of convertible bonds. Journal of Empirical Finance, 15, 310-331.
    Ammann, M. and Seiz, R. (2006). Pricing and hedging mandatory convertible bonds. Journal of
    Derivatives,13, 30-46.
    Ayache, E., Forsyth, P. A. and Vetzal, K. R. (2004). The valuation of convertible bonds with default risk. Journal of Derivatives, 1, 9-29.
    Barndorff-Nielsen, O. E. (1995). Normal inverse Gaussian distributions and modeling of stock returns. Technical report, Aarhus University.
    Black, F. and Cox, J. C. (1976). Valuing corporate securities: some effects on the bonds indenture
    provisions. Journal of Finance, 31, 351-367.
    Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654.
    Brennan, M. J. and Schwartz, E.S. (1977). Convertible bond: valuation and optimal strategies for call and conversion. Journal of Finance, 32, 1699-1715.
    Brennan, M. J. and Schwartz, E.S. (1980). Analyzing convertible bonds. Journal of Financial and Quantitative Analysis, 15, 907-929.
    Caeeiere, J. F. (1996), Valuation of the early-exercise price for options using simulations and nonparametric regression, Mathematics and Economics, 19, 19-30.
    Cariboni, J. and Schoutens, W. (2007). Pricing credit default swaps under Lévy models. Journal of Computational Finance, 10, 1-21.
    Carr, P., Wu, L. (2004). Time-changed Lévy process and option pricing. Journal of Financial Economics, 71,113-141.
    Carayannopoulos, P. (1996). Valuation convertible bonds under the assumption of stochastic interest rate: An Empirical investigation. Quarterly Journal of Business and Economics, 6, 17-31.
    Duffie, D. and Singleton, K. (1997). An econometric model of the term structure of interest rate swap yields. Journal of Finance, 52, 1287-1321.
    Duffie, D. and Singleton, K. J. (1999). Modelling term structures of defaultable bonds. The Review of Financial Studies, 12, 687-720.
    Goldman, S. (1994). Valuing convertible bonds as derivatives. Quantitative Strategies Research Notes.
    Hirsa, A. and Madan, D. B. (2004). Pricing American option under variance Gamma. Journal of Computational Finance, 7, 63-80.
    Ingersoll, J. E. (1977). A contingent claims valuation of convertible securities. Journal of Financial Economics, 4, 289-322.
    Jarrow, R. A. and Turnbull S. M. (1995). Pricing options on financial securities subject to default risk. Journal of Finance, 50, 481-523.
    Jarrow, R. A., Lando, D., and Turnbull, S. M. (1997). A Markov model for the term structure of credit risk spreads. Review of Financial Studies, 10, 481-523.
    Kalemanova, A., Schmid, B. and Werner R. (2007). The normal inverse Gaussian distribution for synthetic CDO pricing. Journal of Derivatives, 14, 80-93.
    Lando, D. (1998). On Cox process and credit risky securities. Review of Derivatives Research, 2, 99-120.
    Liao, S. L. and Huang, H. H. (2006). Valuation and optimal strategies of convertible bonds. Journal of Future Markets, 26, 895-922.
    Longstaff, F. A. and Schwartz, E. S. (2001). Valuing American option by simulation: a simple least squares approach. The Review of Financial Studies, 14, 113-147.
    Madan, D. B., Carr, P. and Chang, E. C. (1998). The variance Gamma process and option pricing. European Finance Review, 2, 79-105.
    Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 45, 542-543.
    McConnell, J. J. and Schwartz, E. S. (1986). LYON taming. Journal of Finance, 41, 564-575.
    Merton, R. C. (1974). “On the pricing of corporate debt: The risk structure of interest rate.” Journal of Finance, 29, 449-470.
    Muromachi, Y. (1999). The growing recognition of credit risk in corporate and financial bond markets. NLI Research Institute.
    Ribeiro, C. and Webber, N. (2002). Valuing path dependent options in variance Gamma model by Monte Carlo with Gamma bridge. Working Paper Series, Financial Econometrics Research Centre, Coventry.
    Stentoft, L. (2008). American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution. Journal of Financial Econometrics, 6, 540-582.
    Takahashi, A., Kobayashi, T. and Nakagawa, N. (2001). Pricing convertible bonds with default risk: A Duffie-Singleton approach. Journal of Fixed Income ,11, 20-29.
    Tilley, J. A. (1993). Valuing American options in a path simulation model. Transactions of the Society of Actuaries, 45, 83-104.
    Tsiveriotis, K. and Fernandes, C. (1998). Valuing convertible bonds with credit risks. Journal of Fixed Income, 8, 95-102.
    Vascieck, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177-188.
    Description: 博士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0953525106
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    510601.pdf1709KbAdobe PDF81View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback