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    Title: 可轉換公司債資產交換評價
    Other Titles: The valuations of convertible bond assets swaps
    Authors: 李奇樺;Lee, Chi-hua
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;Neih, Chien-chung
    Keywords: 最小平方蒙地卡羅法;類蒙地卡羅法;可轉換公司債;可轉換公司債資產交換;Least Square Monte-Carlo Simulation;Quasi-Monte Carlo;Convertible bond;Convertible Bond Assets SWAP
    Date: 2009
    Issue Date: 2010-01-11 00:44:46 (UTC+8)
    Abstract: 本文係探討可轉換公司債資產交換的評價,藉由將可轉換公司債資產交換拆解為可轉換公債、可轉換公司債買權及利率交換,並考量可轉換公司債原有轉換選擇權、發行機構之買回權、投資人之賣回權、轉換時之重設條款等因素,利用最小平方蒙地卡羅法來建構可轉換公司債資產交換之評價模型;同時為解決使用傳統蒙地卡羅模擬法時,需要模擬出大量的路徑,而耗費大量的時間及評價結果不易收斂的問題,在模型運算上修正採用類蒙地卡羅法,以增進評價模型運作之效率。
    本文以台灣地區實際交易的可轉換公司債資產交換進行實證分析,實證結果說明本文利用最小平方蒙地卡羅法所建構出的可轉換公司債資產交換評價模型可以合理評價可轉換公司債資產交換交易,在運算修正採用類蒙地卡羅模擬,亦可大幅增進評價模型運作之效率;嗣後不論是可轉換公司債資產交換的發行者或參與者,皆可以利用本文所發展出的模型,正確地評估可轉換公司債資產交換交易的價值,進行相關交易的投資判斷及風險管理。
    This thesis is to establish the valuation model of convertible bond assets SWAP. By considering the terms of the convertible bond(such as conversion option, call option, put option and reset option), this paper applies Least Square Monte-Carlo Simulation method to develop a valuation model in order to fairly price the value of convertible bond, call on convertible bond and IRS. Since Monte Carlo simulation is computationally inefficient, we incorporate the Quasi-Monte Carlo method to improve the efficiency of a Monte Carlo simulation.
    We examine the model with data from the transactions of Taiwan’s convertible bond assets SWAP, and the results suggest that the valuation model of convertible bond assets SWAP is effective and efficient. In the future, the issuers and participants of convertible bond assets SWAP could use our valuation model to make better investment decisions and control their risks.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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