碩士 / 東吳大學 / 商用數學系 / 92 / Abstract
A Euro-convertible bond （ECB） is issued by a native company and sold overseas. Because the price of an ECB will change according to the variation of currencies, an ECB holder is exposed to the currency risks. Moreover, most ECBs in Taiwan are issued with call options, put options, conversion price reset, and special reset terms. Some of these embedded options and terms have the path-dependent option features. It is extremely difficult to pricing an ECB due to its complexities. To construct a practical ECB pricing model, this study sets up a multi-factor Monte Carlo simulation approach, which can accurately and efficiently solves the valuation of an ECB with the properties of multi-factor, stochastic interest rates, several embedded options, and stochastic credit spreads. Finally, we test the reliabilities of our ECB pricing model for Taiwan’s financial market.
| Identifer | oai:union.ndltd.org:TW/092SCU00314027 |
| Date | January 2004 |
| Creators | 黃一仁 |
| Contributors | 林 忠 機 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 70 |
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