碩士 / 銘傳大學 / 金融研究所 / 90 / We pool exchange rate and stock price diffusion process together as an independent foreign exchange stock price process, and construct a theoretical pricing model for European convertible bonds (ECB) which considers foreign exchange stock price process and interest rate process simultaneously. We also testified the convergence of theoretical ECB price to the real trading price, and try to explain the difference between theoretical prices and real prices of ECB.
Our results show that, when the exercise value of ECB stays in the in-the-money or at-the-money situation, the differences between theoretical price and real price of ECB are relatively small prior to the call period, but the differences between two prices are relatively large during the call period owing to the issuer of ECB do not exercise the right to call back the outstanding bonds. On the other hand, when the exercise value of ECB stays in the out-of-the-money situation, the differences between theoretical price and real price of ECB are relative small at non-puttable time, the differences are relatively large at the puttable time because of the possibility of no trade.
| Identifer | oai:union.ndltd.org:TW/090MCU00214009 |
| Date | January 2002 |
| Creators | Ting-kang Chen, 陳庭綱 |
| Contributors | Dr.Yijen Wang, Dr.Chang-Chun Cheng, 汪逸真, 鄭昌錞 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 79 |
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