Chambers及Lu可轉債評價模型之實證研究

Abstract

可轉換債券是一種持有者有權利以特定轉換比例轉換為該公司股票的債券，其性質類似一般的債券加上一個選擇權，但評價時由於可轉換債券其轉換權利多為美式，且通常會加上可買回及可賣回之條款，因此無法直接將兩者分開來評價。 2007年Chambers和Lu提出用二元樹模型評價可轉換債券的方法，他們的模型包含股價和利率的因子，並進一步考慮兩者之間的相關係數。本論文的目的便是以台灣可轉換債券市場的資料對該模型進行實證研究，並和其他模型比較其評價結果。

Convertible bonds are bonds issued by a company where the holders have the option to exchange the bonds for the company’s stock by certain conversion ratio. It is like a bond plus an option. However, we cannot simply value convertible bonds by vanilla option formulas because convertible bonds are almost always callable. Chambers and Lu proposed a method pricing convertible bonds using binomial tree model in 2007. Their model was a two-factor model where the stock price and the interest rate were the two factors. In addition, they added default risk and included risky interest rates in their model. The purpose of my thesis is to compare the results of their model with the empirical data of Taiwan’s convertible bonds market and other model.