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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 呂育道 | |
dc.contributor.author | Kun_Ching Lin | en |
dc.contributor.author | 林昆慶 | zh_TW |
dc.date.accessioned | 2021-05-20T20:15:57Z | - |
dc.date.available | 2009-07-29 | |
dc.date.available | 2021-05-20T20:15:57Z | - |
dc.date.copyright | 2009-07-29 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-07-08 | |
dc.identifier.citation | [1] Donald R. Chambers and Qin Lu, “A Tree Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk.” Journal of Derivatives, 14, 4, Summer 2007, 25–46.
[2] Tian-Shyr Dai and Yuh-Dauh Lyuu, “Pricing Discrete Dividend-Paying Stock Options with the Stair Tree.” Taiwan Banking and Finance Quarterly, 5, No. 4, December 2004, 1-17. [3] Tian-Shyr Dai, “Efficient Option Pricing on Stocks Paying Known or Path-Dependent Dividends with the Stair Tree.” Quantitative Finance, forthcoming. [4] Black, F., E. Derman, and W. Toy, “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options.” Financial Analysts Journal, January/Febuary 1990, 33-39. [5] John C. Hull, “Options, Futures, and Other Derivatives.” Fifth Editions. [6] K. Tsiveriotis and C. Fernandes, “Valuing Convertible Bonds with Credit Risk.” Journal of Fixed Income, 8, No. 2, September 1998, 95–102. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9285 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-05-20T20:15:57Z (GMT). No. of bitstreams: 1 ntu-98-R93723059-1.pdf: 756127 bytes, checksum: 873310ccd6d80db1d9d5393156eb1186 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 誌謝...........................................i
中文摘要......................................ii 英文摘要.....................................iii 目錄..........................................iv 圖表目次.......................................v 第一章 可轉換債券評價模型.....................1 1.1 可轉換債券簡介........................1 1.2 二元樹可轉債評價模型..................2 1.3 Chambers及Lu可轉債評價模型............3 1.4 現金股利模型..........................5 1.5 現金股利階梯樹模型....................7 第二章 Chambers及Lu可轉債評價模型特性.........9 2.1 無買回條款之可轉債特性................9 2.2 具買回條款之可轉債特性...............17 第三章 Chambers及Lu可轉債評價模型實證研究....20 3.1 Chambers及Lu可轉債評價模型實證研究...20 第四章 結論..................................24 參考文獻......................................25 | |
dc.language.iso | zh-TW | |
dc.title | Chambers及Lu可轉債評價模型之實證研究 | zh_TW |
dc.title | An Empirical Study of Chambers and Lu’s Convertible Bond Pricing Model | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 金國興,戴天時 | |
dc.subject.keyword | 可轉債,可轉換債券, | zh_TW |
dc.subject.keyword | convertible bond, | en |
dc.relation.page | 25 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2009-07-08 | |
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 |
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