English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 111314/142224 (78%)
Visitors : 48365326      Online Users : 800
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 140.119/98857
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/98857


    Title: 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
    Authors: 姚博文
    Contributors: 廖四郎
    姚博文
    Keywords: 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
    Date: 2016
    Issue Date: 2016-07-11 17:04:48 (UTC+8)
    Abstract: 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。
    Reference: 【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。
    Description: 碩士
    國立政治大學
    金融學系
    103352014
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1033520141
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    014101.pdf1552KbAdobe PDF255View/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