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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/98857


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    题名: 動態信用風險與PBJD模型下之可轉債評價
    Pricing Convertible Bonds under Dynamic Credit Risk and Pareto-Beta Jump-Diffusion Model
    作者: 姚博文
    贡献者: 廖四郎
    姚博文
    关键词: 可轉債
    信用風險
    跳躍模型
    最小平方蒙地卡羅
    Convertible Bonds
    Credit Risk
    Jump-Diffusion Model
    LSM
    日期: 2016
    上传时间: 2016-07-11 17:04:48 (UTC+8)
    摘要: 可轉換公司債是一種複雜且擁有許多風險的商品,而對於台灣的可轉債市場來說,信用風險佔了評價裡很重要的一部份。本篇論文使用縮減式評價模型,考慮信用風險及股價跳躍。跳躍模型使用Pareto-Beta Jump-Diffusion模型,並且利用信用價差之動態過程,來對可轉換公司債作評價,而為了解決提前轉換的問題,也使用了最小平方蒙地卡羅法來處理。本篇論文分別對宏碁與新光金之可轉債做實證研究,實證結果顯示,加入了股價跳躍之後,的確可以使理論價格更貼近市場真實價格。
    參考文獻: 【英文參考文獻】
    Ammann, Manuel, Axel Kind, and Christian Wilde. "Simulation-Based Pricing of Convertible Bonds." Journal of Empirical Finance 15, no. 2 (2008): 310-331.
    Ayache, Elie, Peter A. Forsyth, and Kenneth R. Vetzal. "Valuation of Convertible Bonds with Credit Risk." The journal of Derivatives 11,no. 1 (2003): 9-29.
    Brennan, Michael J., and Eduardo S. Schwartz. "Analyzing Convertible Bonds." Journal of Financial and Quantitative analysis 15, no. 4 (1980): 907-929.
    Brennan, Michael J., and Eduardo S. Schwartz. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion." The Journal of Finance 32, no. 5 (1977): 1699-1715.
    Clark, Truman A., and Mark I. Weinstein. "The Behavior of the Common Stock of Bankrupt Firms." The Journal of Finance 38, no. 2 (1983): 489-504.
    Crépey, Stéphane, and Abdallah Rahal. "Pricing Convertible Bonds with Call Protection." The Journal of Computational Finance 15, no. 2 (2011): 37-75.
    Dao, Binh, and Monique Jeanblanc. "Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure." The Journal of Credit Risk 8, no. 2 (2006) : 21-43.
    Davis, Mark, and Fabian R. Lischka. "Convertible Bonds with Market Risk and Credit Risk." Ams Ip Studies In Advanced Mathematics 26 (2002): 45-58.
    Duffie, Darrell, and Kenneth J. Singleton. "Modeling Term Structures of Defaultable Bonds." Review of Financial studies 12, no. 4 (1999): 687-720.
    Ingersoll, Jonathan E. "A Contingent-Claims Valuation of Convertible Securities." Journal of Financial Economics 4, no. 3 (1977): 289-321.
    Kou, Steven G. "A Jump-Diffusion Model for Option Pricing." Management science 48, no. 8 (2002): 1086-1101.
    Li, Ping, and Jing Song. "Pricing Chinese Convertible Bonds with Dynamic Credit Risk." Discrete Dynamics in Nature and Society 2014 (2014): 1-5.
    Longstaff, Francis A., and Eduardo S. Schwartz. "Valuing American Options by Simulation: A Simple Least-Squares Approach." Review of Financial studies 14, no. 1 (2001): 113-147.
    McConnell, John, and Eduardo S. Schwartz. "Lyon Taming." The Journal of Finance 41, no. 3 (1986): 561-576.
    Merton, Robert C. "Option Pricing When Underlying Stock Returns Are Discontinuous." Journal of financial economics 3, no. 1-2 (1976): 125-44.
    Milanov, Krasimir, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, and Svetlozar T. Rachev. "A Binomial-Tree Model for Convertible Bond Pricing." The Journal of Fixed Income 22, no. 3 (2013): 74,79-94.
    Moreno, Manuel, and Javier F. Navas. "On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives." Review of Derivatives Research 6, no. 2 (2003): 107-128.
    Muromachi, Yukio. "The Growing Recognition of Credit Risk in Corporate and Financial Bond Markets." NLI Research Institute,Paper 126 (1999).
    Ramezani, Cyrus A., and Yong Zeng. "Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices." Available at SSRN 606361 (1998).
    Stentoft, Lars. "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation." Management Science 50, no. 9 (2004): 1193-1203.
    Takahashi, Akihiko, Takao Kobayashi, and Naruhisa Nakagawa. "Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach." The Journal of Fixed Income 11, no. 3 (2001): 20-29.
    Tsiveriotis, Kostas, and Chris Fernandes. "Valuing Convertible Bonds with Credit Risk." The journal of fixed income 8, no. 2 (1998): 95-102.
    【中文參考文獻】
    丁柏嵩(2012),可轉債評價 --- LSMC考慮股價跳躍及信用風險,碩士論文,國立政治大學。
    許典玉(2014),考慮信用風險及流動性風險下之可轉債評價,碩士論文,國立政治大學。
    描述: 碩士
    國立政治大學
    金融學系
    103352014
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1033520141
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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