碩士 / 國立暨南國際大學 / 財務金融學系 / 97 / This paper investigates the valuation of the convertible bonds whose value depends on the stock price and the clauses set by the issuing companies. First, assuming that underlying stock price process is driven by the Lévy process and we use the Normal Inverse Gaussian (NIG) and the Variance Gamma (VG) distribution to model the stochastic process of stock price. Second, we adopt the QQ-plot, Kolmogorove-Smirnov and Anderson and Darling test to test the goodness of fitness of the model to the empirical data. Third, we use the Least-squared Monte Carlo Simulation (LSM) proposed by LongStaff and Schwartz (2001) to deal with the early-exercised problem of the convertible bonds. Fourth, we compare the performance of the models (GBM, NIG and VG models). At last, we find the performance of using Lévy process in pricing the convertible bonds is better than the Weiner Process.
Keywords: Convertible bonds, Lévy process, Normal Inverse Gaussian, Vairance Gamma, QQ-plot, Kolmogorove-Smirnov test, Anderson and Darling test, LSM
| Identifer | oai:union.ndltd.org:TW/097NCNU0304021 |
| Date | January 2009 |
| Creators | Chen Jung-Hong, 陳俊洪 |
| Contributors | Tsai, Ming-Shann, 蔡明憲 |
| 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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