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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23477完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王之彥 | |
| dc.contributor.author | Wen-Jie Huang | en |
| dc.contributor.author | 黃文潔 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:02:12Z | - |
| dc.date.copyright | 2010-08-23 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-08-20 | |
| dc.identifier.citation | References
John, C. Hull, 2008, Options, Futures, and Other Derivatives. Merton, Robert, 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, Vol.29, 449-470 John, C. Hull, and Alan White, 1994, Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models, the Journal of Derivatives, 7-16 John, C. Hull, and Alan White, 1994, Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models, the Journal of Derivatives, 37-48 Jarrow, R., and P. Protter, 2004, Structural versus Reduced Form Models: A New Information Based Perspective, Working Paper, Cornell University. Cox, J. E., Ingersoll and S.A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53 Ho, T. and S.B. Lee, 1986, Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 41, 1011-1029 Ho, T. and Preffer, 1996, Convertible Bonds: Model, Value Attribution and Analytics, Financial Analytics Journal Jarrow, R., and S. Turnbull, 1995, Pricing Derivatives on Financial Securities Subject to Default Risk, Journal of Finance, Vol. 50, 53-86 49 Mao-Wei Hung, and JR-Yan Wang, 2002, Pricing Convertible Bonds Subject to Default Risk, the Journal of Derivatives, 75-87 Tsiveriotis, K., and C. Fernandes, 1998, Valuing Convertible Bonds with Credit Risk, the Journal of Fixed Income, 8, 95-102 Donald R. Chambers, and Qin Lu, 2007, A Tree Model for Pricing Convertible bonds with Equity, Interest Rate, and Default Risk, the Journal of Derivatives, 25-46 Health, David, Robert, A. Jarrow, and Andrew Morton, 1990, Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation, Journal of Finance and Quantitative Analysis, Vol.25, No.4, 419-440 Kamrad, B., and P. Ritchken, 1991, Multinomial Approximating Models for Options with k State Variables, Management Science, 3, 9–37 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23477 | - |
| dc.description.abstract | Abstract
This thesis discusses the pricing of convertible bonds, especially when the correlation of interest rate and stock price should be considered. In addition, I also take default risk into consideration. The interest rate model considered in the thesis follows the Hull-White tree model to fit initial term structure and limited upside or downside bound on interest rate tree, and the stock tree process is simulated by the trinomial tree model in Kamrad and Ritchken (1991). Two kinds of methods to determine the default intensity are discussed in this thesis: first is based on the credit spreads of risky corporate bonds, and the other is based on the credit migration probabilities for different credit levels. Furthermore, this thesis also ensures that the length of the time step is small enough such that the branching probabilities are valid in this model. Then I provide real numerical sensitivity analysis to see how our model behaves. At the end, I conclude and show what can be improved to our model when pricing CBs. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:02:12Z (GMT). No. of bitstreams: 1 ntu-99-R97724062-1.pdf: 1251515 bytes, checksum: caf9caca68159bf1ee15efafdf5cd020 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | Table of Contents
Abstract ....................................................................................................................... 1 Chapter 1 Introduction ............................................................................................... 2 1.1 Convertible Bond ........................................................................................... 2 1.2 Reference ....................................................................................................... 2 Chapter 2 Traditional Models .................................................................................... 5 2.1 Interest Rate Model ....................................................................................... 5 2.2 Stock Price Model ........................................................................................ 10 2.3 Default probability and CBs Pricing........................................................... 12 Chapter 3 My Model ................................................................................................. 19 3.1 Hull-White Interest rate .............................................................................. 19 3.2 Stock Price Model ........................................................................................ 23 3.3 Construct Bivariate Tree Model .................................................................. 27 3.4 Correlation ................................................................................................... 30 Chapter 4 Numerical Result ..................................................................................... 35 4.1 S-r tree Model .............................................................................................. 35 4.2 Default Spread ............................................................................................. 37 4.3 Sensitivity Analysis ...................................................................................... 39 Chapter 5 Conclusion ............................................................................................... 46 References ................................................................................................................. 47 | |
| dc.language.iso | en | |
| dc.title | 在利率股價具相關性下考慮會違約可轉換公司債的三元樹評價模型 | zh_TW |
| dc.title | Pricing of Convertible Bond with Correlation between Interest Rate and Stock Price under Recombining Trinomial Tree Model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 郭家豪,戴天時 | |
| dc.subject.keyword | Hull-White利率,多元樹模型,股價利率相關性, | zh_TW |
| dc.subject.keyword | Hull-White Interest RateModel,Correlation between Interest Rate and Stock Price,Trinomial Tree Model, | en |
| dc.relation.page | 48 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-08-20 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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