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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/61675
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/61675


    Title: Valuation of Convertible Bond Under Levy Process with Default Risk
    Authors: 廖四郎
    Liao, Szu-Lang;Tsai, Ming-Shann;Chen, Jun-Home;Li, Chia-Huang
    Contributors: 金融系
    Keywords: Lévy process;credit risk;convertible bond;least squares Monte;Carlo Simulation
    Date: 2012.06
    Issue Date: 2013-11-13 17:46:35 (UTC+8)
    Abstract: 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.
    Relation: Journal of the Chinese Statistical Association, 50(2) , 48-70
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

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