碩士 / 國立高雄第一科技大學 / 財務管理所 / 92 / There are more and more financial products for investoafter financial markets improved and regulatory released. Euro-convertible bond (ECB), a hybrid security, has significant benefits for investors. Investors can choose to hold the bond securities in the depressed market period, while to convert into stock securities in the stable and brisk market period. In other words, it seems to say that investors have the views of looking upward of the stock market when buying Euro-convertible bonds. It’s worth to take advantage its call option condition, which means that we can sell the stock at a constant ratio and, at the same time, buy an ECB in order to make the arbitrage strategy. As we know, it’s important to simulate the stock price paths by Monte Carlo simulation method in three different situations, which are in-the-money, at-the-money, and out-of-the-money. By doing so, we can execute the dynamic arbitrage simulation base on its stock price volatility. It is come to the conclusion that
1.There is no evidence to say that the changes of the stock price tick has related to the expected returns.
2.The larger the stock price volatility is, the bigger the expected return is.
3.It’s suggested that investors should execute a dynamic arbitrage strategy when stock price is in-the money.
4.When at-the-money situation, the expected returns cannot be positive continually.
5.In the out-of-the-money situation, investors to should not execute a dynamic arbitrage strategy because of the negative returns.
There will be positive returns while the stock price volatility is over 50% either in in-the-money or at-the-money situation. However, it is not necessary to discuss about the out-of-the-money situation for its minus returns when simulating.
| Identifer | oai:union.ndltd.org:TW/092NKIT5305041 |
| Date | January 2004 |
| Creators | Meng-chun Ho, 何孟純 |
| Contributors | Chou-wen Wang, 王昭文 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 100 |
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