請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25990完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
| dc.contributor.author | You-Zhong Zeng | en |
| dc.contributor.author | 曾右仲 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:58:07Z | - |
| dc.date.copyright | 2009-07-17 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-10 | |
| dc.identifier.citation | [1] Boyle, P.P., K.S. Tan and W. Tian. (2001): “Calibrating the Black-Dermon-Toy model: some theoretical results,” Applied Mathematical Finance, 8 (2001) 27–48.
[2] Chambers, D.R. and Q. Lu. (2007): “A Tree Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk,” The Journal of Derivatives, 4 (Summer 2007), 25–46. [3] Cox, J.C., S.A. Ross and M. Rubinstein. (1979): “Option pricing: A Simplified Approach,” Journal of Financial Economics, 7 (Semptember 1979), 229–263. [5] Das, S.R. and R.K. Sundaram. (2004): “A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default risk,”Working paper No. S–CDM–04–05, Department of Finance, Stern School of Business, New York University, March 2004 . [6] Hung, M. and J. Wang. (2002): “Pricing Convertible Bonds Subject to Default Risk,” The Journal of Derivatives, 10 (Winter 2002), 75–87. [7] Jarrow, R.A. and S.M. Turnball (1995): “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, Vol.50 (March 1995), 53–85. [8] John C. Hull (2006): Options, Futures, .and Other Derivatives. 6th edition, New Jersey: Pearson Prentice Hall. [9] Lov, D., A.B. Yigitbasioglu and N. El Bachir (UK). (2004): “Pricing Convertible Bonds by Simulation,” FinancialEngineering and Applications (FEA 2004), MIT, Cambridge, Massachusetts, USA, August 2004. [10] LYUU, Y.-D. “Financial Engineering & Computation: Principles, Mathematics, Algorithms”. Cambridge: Cambridge University Press, 2002. [11] Sandmann, K., and D. Sondermann. (1993): “A term structure model and the pricing of interest rate derivatives,” The Review of Futures Markets, 12(2) (1993) 391–423. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25990 | - |
| dc.description.abstract | 可轉換公司債是常見的金融商品之一，此商品允許投資人在特定期間內，將公司債轉以合約約定比率轉換成公司股票，目前市面上可見的還有包含買權或賣權等其他條件的可轉換公司債，樹狀結構相較於蒙地卡羅模擬法在評價此類條件有其優勢。本文目的是延續Chambers and Lu (2007)的樹狀模型，討論此模型在切割期數變大時，會遭遇機率不滿足限制的問題，並提供修正方法。 | zh_TW |
| dc.description.abstract | Convertible bonds are some of the most popular financial products. They allow investors to exchange the company’s bonds for the company’s stocks within certain periods of time in the future. Some convertible bonds embed other options such as call option and put option. The tree method has advantages in pricing convertible bonds with embedded options over the Monte Carlo method. This thesis extends the tree method of Chambers and Lu (2007) and discusses the problem of the probability out of the valid range. It then provides a method to address this problem. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:58:07Z (GMT). No. of bitstreams: 1 ntu-98-R96723064-1.pdf: 317721 bytes, checksum: 5490d508455f397b7a5dfb4c9a5116ec (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 第一章 緒論
第一節 研究動機………………………………………………………………………………………………… 01 第二節 研究目的………………………………………………………………………………………………… 01 第二章 文獻回顧 ………………………………………………………………………………………………………………… 102 第三章 研究方法 第一節 基本模型設定………………………………………………………………………………………… 03 第二節 模型改進………………………………………………………………………………………………… 08 第四章 數值結果 ………………………………………………………………………………………………………………… 13 第五章 結論與建議 ……………………………………………………………………………………………………………… 18 參考文獻………………………………………………………………………………………………………………………………… 19 附錄 ……………………………………………………………………………………………………………………………………… 21 | |
| dc.language.iso | zh-TW | |
| dc.title | 利用三因子樹狀模型評價可轉換公司債 | zh_TW |
| dc.title | A Modified Tree Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時(Tian-Shyr Dai),金國興(Gow-Hsing King) | |
| dc.subject.keyword | 可轉換公司債,樹狀結構,Chambers and Lu, | zh_TW |
| dc.subject.keyword | convertible bonds,tree method,Chambers and Lu, | en |
| dc.relation.page | 24 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2009-07-10 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-98-1.pdf 未授權公開取用 | 310.27 kB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。