Pricing convertible bonds with Lévy process- taking Foxconn 1 as example

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 Ga...

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Main Authors: Chen Jung-Hong, 陳俊洪
Other Authors: Tsai, Ming-Shann
Format: Others
Language:zh-TW
Published: 2009
Online Access:http://ndltd.ncl.edu.tw/handle/66515004914839682076
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spelling ndltd-TW-097NCNU03040212015-11-20T04:18:27Z http://ndltd.ncl.edu.tw/handle/66515004914839682076 Pricing convertible bonds with Lévy process- taking Foxconn 1 as example 使用Lévy隨機過程下之可轉債定價-以鴻海一為實證分析 Chen Jung-Hong 陳俊洪 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 Tsai, Ming-Shann 蔡明憲 2009 學位論文 ; thesis 70 zh-TW
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language zh-TW
format Others
sources NDLTD
description 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
author2 Tsai, Ming-Shann
author_facet Tsai, Ming-Shann
Chen Jung-Hong
陳俊洪
author Chen Jung-Hong
陳俊洪
spellingShingle Chen Jung-Hong
陳俊洪
Pricing convertible bonds with Lévy process- taking Foxconn 1 as example
author_sort Chen Jung-Hong
title Pricing convertible bonds with Lévy process- taking Foxconn 1 as example
title_short Pricing convertible bonds with Lévy process- taking Foxconn 1 as example
title_full Pricing convertible bonds with Lévy process- taking Foxconn 1 as example
title_fullStr Pricing convertible bonds with Lévy process- taking Foxconn 1 as example
title_full_unstemmed Pricing convertible bonds with Lévy process- taking Foxconn 1 as example
title_sort pricing convertible bonds with lévy process- taking foxconn 1 as example
publishDate 2009
url http://ndltd.ncl.edu.tw/handle/66515004914839682076
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