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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105055

    Title: 運用最小平方蒙地卡羅法評價可轉債
    Other Titles: Pricing convertible bond by least square monte carlo simulation
    Authors: 蔡燿均;Tsai, Yao-Chun
    Contributors: 淡江大學財務金融學系碩士班
    林允永;Lin, Yun-Yung
    Keywords: 可轉換公司債;最小平方蒙地卡羅法;可轉換公司債拆解;廣義自迴歸條件異方差模型;Convertible bond;Least Square Monte Carlo Simulation;Compound Option and Bond;GARCH
    Date: 2015
    Issue Date: 2016-01-22 14:46:42 (UTC+8)
    Abstract: 可轉換公司債是一種非常複雜的金融商品,除了需考慮股價波動度、股價、無風險利率和信用貼水等因素外,還需考慮到可轉換公司債具有美式選擇權的特性。


    Convertible bond is a very complex financial instrument. It needs not only to consider stock volatility, risk free rate, issuer’s credit risk but also implies American option’s nature.
    Least square monte carlo simulation approach is used to pricing complicated and multi-factor financial instrument. As a result, this research used this numerical procedure with GARCH to estimate stock volatility parameters for pricing convertible bonds. With stock volatility, risk free rate, issuer’s credit risk, our research tries to value convertible more accurately.
    In this research, under the less time cost, we have two different ways to price convertible bonds. One is with one factor model and another is with compound option and bond. After pricing convertible bonds with actual case, we will find out which model is more accurate and discuss what reason let the spread occur.
    The empirical result show that compound option and bond’s approach is more accurate than one factor model. Trading volume, estimated parameters, sensitive model and clauses assumption will extend the spread.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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