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    題名: 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
    作者: 李嘉晃
    Li, Chia Huang
    貢獻者: 廖四郎
    Liao, Szu Lang
    李嘉晃
    Li, Chia Huang
    關鍵詞: Lévy過程
    信用風險
    可轉換公司債
    最小平方蒙地卡羅法
    Lévy process
    credit risk
    convertible bond
    least squares Monte Carlo Simulation
    日期: 2012
    上傳時間: 2013-06-03 17:52:38 (UTC+8)
    摘要: 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.
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    描述: 博士
    國立政治大學
    金融研究所
    95352510
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0953525106
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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