English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110936/141856 (78%)
Visitors : 47743804      Online Users : 1140
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 140.119/49007
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49007


    Title: 可轉債交易策略實證研究
    The empirical study of convertible arbitrage
    Authors: 鍾明希
    Contributors: 陳松男
    鍾明希
    Keywords: 可轉債交易策略
    可轉債評價模型
    Derman模型
    可轉債避險參數計算
    Date: 2009
    Issue Date: 2010-12-08 01:56:53 (UTC+8)
    Abstract: 可轉債套利,為避險基金常用的操作技巧。其操作方式,為買進一可轉債,賣出若干標的股票。若是放空標的股數計算正確的話,未來不論標的股價上漲或下跌,投資組合都會有獲利,而本文目的為計算出所需放空的標的股數。

    本文使用CRR(1979) 和Derman(1994) 模型,在經過路徑相依條約調整後,使用OAS參數做校準,以求得所需放空標的股數。在實證方面,本研究選取鴻海一(23171)、聯強一(23471)、佳能一(23741)做研究,結果顯示經校準過後所計算出的避險參數值,效果可用於可轉債套利操作所需,且兩個模型的效果並沒有顯著的差異。此外,可轉債的流動性對於模型計算避險比率的精準度,也沒有顯著的影響。
    Reference: Chambers, Donald R. and Lu, Qin(2007), "A tree model for pricing convertible bonds with equity, interest rate, and default risk", Journal of Derivatives.
    Grimwood, Russell and Hodges, Stewart (2002), “The valuation of convertible bond: a study of alternative pricing models”, Technical report, Warwick Business School.
    Hung, Mao-Wei and Wang, Jr-Yan(2002), "Pricing convertible bonds subject to default risk", Journal of Derivatives.
    Finger, Pan Lardy Ta, Finkelstein and Tierney (2002), “Creditgrades technical document”, Technical report, RiskMetrics Group.
    Derman(1994), "Valuing convertible bonds as derivatives", Technical report, Goldman Sachs.
    McConnell, John J. and Schwartz, Eduardo S. (1986), “Lyon taming”, Journal of Finance.
    陳松男(2009),固定收益證券與衍生產品,新陸書局
    陳松男(2006),初階金融工程學與Matlab、C++電算應用,新陸書局
    陳松男(2005),金融工程學(二版)-金融商品創新與選擇權理論,新陸書局
    劉昶輝(2009),考慮信用風險之可轉債評價研究,政大金融所碩士論文
    林忠機、張傳章、俞明德、黃一仁(2006),"具有隱含選擇權之海外可轉換公司債評價分析",Journal of Financial Studies.
    Description: 碩士
    國立政治大學
    金融研究所
    97352008
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097352008
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2268View/Open


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


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback