Convertible Bonds is the most important way to collect capital for a corporate, however the design of Convertible Bonds issue condition is more complicate and the valuing is more difficult. Six models have been used for valuing Convertible Bonds: (1) Black-Scholes Model (2) founded on LYON Model, solved by Binomial Model (3) Numerical Method (4) One State Variable / Two State Variable Finite Difference Method; (5) Contingent Claim Analysis; (6) Artificial Neural Networks Method. The results of the empirical analysis present the theoretical price deviates form market price. In the dissertation, I codify convertible bonds valuing models for this research afterward.
Traditional approach is on the assumption that investors have no preference and frictionless market, however, such as: risk-less interest rate¡Bcash dividend¡Bexercise price¡Bunderwriting asset and fluctuant of investment yield¡Bthe conversion strategy of investment¡Bput strategy¡Boptimal call strategy of bonded corporation will affect the valuing of derivative securities.
In consequence the issue condition of convertible bonds is more complicate, we would like recommending the Longstaff & Schwartz model (1995) to derive the theoretical value of convertible bonds more effectively.
Longstaff & Schwartz (1995) develop the simple method to value risky bonds, which model can value the convertible bonds consist of default risk and interest risk. This model can reflect the default risk, and show two equations for fixed interest and floating interest to value the convertible bonds in the other same conditions.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0726101-194932 |
| Date | 26 July 2001 |
| Creators | CHEN, CHIEN-CHIH |
| Contributors | Wing-Chih Lee, Ming-Sheng Chiang, Anlin CHEN |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0726101-194932 |
| Rights | not_available, Copyright information available at source archive |
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