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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 洪一薰 | zh_TW |
| dc.contributor.advisor | I-Hsuan Hong | en |
| dc.contributor.author | 張若禹 | zh_TW |
| dc.contributor.author | Rou-Iu Chang | en |
| dc.date.accessioned | 2025-08-22T16:07:02Z | - |
| dc.date.available | 2025-08-23 | - |
| dc.date.copyright | 2025-08-22 | - |
| dc.date.issued | 2025 | - |
| dc.date.submitted | 2025-08-19 | - |
| dc.identifier.citation | 參考文獻
中文文獻 中央銀行（2025）。中華民國金融統計月報。台北：中央銀行。https://www.cbc.gov.tw/tw/cp-374-1311-8BE8F-1.html 台灣證券交易所（2025）。上市公司可轉換公司債發行統計。台北：台灣證券交易所。https://www.twse.com.tw/zh/page/trading/bond/TW53AA01.html 英文文獻 Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654. https://doi.org/10.1086/260062 Brennan, M. J., & Schwartz, E. S. (1977). Convertible bonds: Valuation and optimal strategies for call and conversion. Journal of Finance, 32(5), 1699-1715. https://doi.org/10.1111/j.1540-6261.1977.tb03364.x Brigo, D., & Mercurio, F. (2006). Interest rate models-theory and practice: With smile, inflation and credit (2nd ed., Chapter 27: Quanto adjustments). Springer Finance. Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263. https://doi.org/10.1016/0304-405X(79)90015-1 Dravid, A., Richardson, M., & Sun, T. S. (1993). Pricing foreign index contingent claims: an application to Nikkei index warrants. Journal of Derivatives, 1(1), 33-51. Derman, E., Karasinski, P., & Wecker, J. S. (1990). Understanding quanto options. Goldman Sachs Quantitative Strategies Research Notes. Duffie, D., & Singleton, K. J. (1999). Modeling term structures of defaultable bonds. Review of Financial Studies, 12(4), 687-720. https://doi.org/10.1093/rfs/12.4.687 Giese, A. (2012). Quanto adjustments in the presence of stochastic volatility. Risk Magazine, 25(5), 67-71. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6(2), 327-343. https://doi.org/10.1093/rfs/6.2.327 Ingersoll, J. E. (1977). A contingent-claims valuation of convertible securities. Journal of Financial Economics, 4(3), 289-321. https://doi.org/10.1016/0304-405X(77)90004-6 Jarrow, R. A., & Turnbull, S. M. (1995). Pricing derivatives on financial securities subject to credit risk. Journal of Finance, 50(1), 53-85. https://doi.org/10.1111/j.1540-6261.1995.tb05167.x Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: A simple least-squares approach. Review of Financial Studies, 14(1), 113-147. https://doi.org/10.1093/rfs/14.1.113 Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141-183. https://doi.org/10.2307/3003143 Tsiveriotis, K., & Fernandes, C. (1998). Valuing convertible bonds with credit risk. Journal of Fixed Income, 8(2), 95-102. Wilmott, P. (2006). Paul Wilmott on quantitative finance (2nd ed., Chapter 39: Quanto derivatives). John Wiley & Sons. Board of Governors of the Federal Reserve System. (2025). Yield curve models and data. https://www.federalreserve.gov/data/yield-curve-models.htm | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/99307 | - |
| dc.description.abstract | 本研究探討跨貨幣可轉換公司債透過資產交換結構重新配置信用風險與股權波動性風險，聚焦於匯率保證選擇權(Quantity-Adjusted Option)調整機制對可轉換公司債資產交換(Convertible Bond Asset Swap)的影響。
透過最小平方蒙地卡羅模擬方法建構多因子訂價模型，推導可轉換公司債選擇權溢價(CBO Premium)與可贖回資產交換(CAS)利差的理論關係，證明兩者在無套利均衡下滿足特定函數關係。 運用300,000條蒙地卡羅路徑實證分析發現，股價與匯率負相關性（ρ = -0.174）透過匯率保證選擇權調整機制，使可轉換公司債選擇權溢價增加2.15個百分點，可贖回資產交換利差減少126個基點，並提供發行條件優化建議。 | zh_TW |
| dc.description.abstract | This study examines how cross-currency convertible bonds reallocate credit risk and equity volatility risk through asset swap structures, focusing on the impact of Quantity-Adjusted Option adjustment mechanisms on Convertible Bond Asset Swaps (CBAS).
Using the Least Squares Monte Carlo simulation method to construct a multi-factor pricing model, this research derives the theoretical relationship between Convertible Bond Option Premium (CBO Premium) and Callable Asset Swap (CAS) spreads, demonstrating that both satisfy a specific functional relationship under no-arbitrage equilibrium conditions. Empirical analysis using 300,000 Monte Carlo simulation paths reveals that the negative correlation between stock price and exchange rate (ρ = -0.174) through the Quantity-Adjusted Option adjustment mechanism increases the convertible bond option premium by 2.15 percentage points and reduces the callable asset swap spread by 126 basis points, while providing issuance terms optimization recommendations. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2025-08-22T16:07:02Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2025-08-22T16:07:02Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 目次
誌謝 i 中文摘要 ii Abstract iii 目次 iv 圖次 vi 表次 vii 第一章 緒論 1 第二章 可轉換公司債資產交換架構 3 2.1 可轉換公司債資產交換概述 3 2.2 流程與架構 5 2.3 經濟動機與價值創造 10 第三章 當代理論與評價模型 11 3.1 傳統選擇權訂價模型回顧 11 3.2最小平方蒙特卡洛方法的理論基礎 13 3.3 自由邊界(Free Boundary)問題與最優執行策略（Optimal Exercise Strategy） 20 3.4 理性投資人行為與逆向歸納 21 3.5 模型整合與計算 22 第四章 實證分析：A公司與B公司案例研究 23 4.1 案例背景與發行條件 23 4.2 模型實施與數值結果 26 4.3 敏感性分析 28 4.4 條款影響分析 32 4.5 實證結果的經濟解釋 34 第五章 結論 39 5.1 研究發現總結 39 5.2 實務應用建議 41 5.3 研究限制與未來方向 42 參考文獻 43 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | 風險分離機制 | zh_TW |
| dc.subject | 可轉換公司債資產交換 | zh_TW |
| dc.subject | 最小平方蒙特卡羅模擬 | zh_TW |
| dc.subject | 匯率保證選擇權 | zh_TW |
| dc.subject | 跨貨幣衍生性金融商品 | zh_TW |
| dc.subject | Cross-Currency Derivatives | en |
| dc.subject | Quantity-Adjusted Option | en |
| dc.subject | LSM Monte Carlo Simulation | en |
| dc.subject | Risk Separate Scheme | en |
| dc.subject | Convertible Bond Asset Swap | en |
| dc.title | 企業發行他國貨幣可轉換公司債資產交換訂價之分析 | zh_TW |
| dc.title | An Analysis of Asset Swap Pricing for Corporate Issuance of Foreign Currency Convertible Bonds | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 113-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 黃奎隆;陳文智 | zh_TW |
| dc.contributor.oralexamcommittee | Kwei-Long Huang;Wen-Chih Chen | en |
| dc.subject.keyword | 可轉換公司債資產交換,風險分離機制,跨貨幣衍生性金融商品,匯率保證選擇權,最小平方蒙特卡羅模擬, | zh_TW |
| dc.subject.keyword | Convertible Bond Asset Swap,Risk Separate Scheme,Cross-Currency Derivatives,Quantity-Adjusted Option,LSM Monte Carlo Simulation, | en |
| dc.relation.page | 45 | - |
| dc.identifier.doi | 10.6342/NTU202504411 | - |
| dc.rights.note | 同意授權(全球公開) | - |
| dc.date.accepted | 2025-08-19 | - |
| dc.contributor.author-college | 工學院 | - |
| dc.contributor.author-dept | 工業工程學研究所 | - |
| dc.date.embargo-lift | 2025-08-23 | - |
| 顯示於系所單位： | 工業工程學研究所 | |
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