The Pricing and Risk Analysis of a Eurobond with Warrants─A Case Study on Behavior Tech Computer Corp

• Main Authors: Chia-hui Yang, 楊嘉蕙
• Other Authors: Jen-hung, Wang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/90031957923176107668

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%.