碩士 / 世新大學 / 財務金融學研究所(含碩專班) / 94 / The thesis simulates the issuing price of a separate bond plus equity warrant, released by Behavior Tech Computer Company in 1993, based on the original evaluation report. I further make a sensitivity analysis with respect to key parameters, including the related stock price volatility, required risk-premium and the reference stock issuing price. The findings are-
1. The stock price volatility is positively correlated with the warrant value. When stock price volatility fluctuates between -10% and 10%, the warrant-bond value changes accordingly between -1.68% and 1.63%. (All changes, here and in the following, are in percentages)
2. The risk-premium is positively correlated with the option value, but negatively correlated with the bond value. Simulation shows that the total effect is a positive correlation between the price and risk-premium. When risk-premium fluctuates between -10% and 10%, the value of bond plus equity warrant, changes accordingly between -.51% and 0.51%.
3. The reference stock issuing price is positively correlated with option values. Consequently, the value of bond plus equity warrant is also positively correlated. When the stock issuing price fluctuates between -10% and 10%, the bond plus equity warrant value changes between -25.24% and 27.68%.
| Identifer | oai:union.ndltd.org:TW/094SHU05304018 |
| Date | January 2006 |
| Creators | Chia-hui Yang, 楊嘉蕙 |
| Contributors | Jen-hung, Wang, 王仁宏 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 53 |
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