Pricing Convertible Bond with Multi-period Geske Credit Risk Model

• Main Authors: Lan-I Ku, 辜蘭懿
• Other Authors: Shih-Kuo Yeh
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/49213766154374260493

碩士 === 國立中興大學 === 財務金融系所 === 100 === Comparing with corporate bonds or stocks, convertible bond, the financial product linked by corporate bonds and stock options is more flexible. Convertible bond has become the main financing tool of domestic corporate in recent years. Although there are many pricing methods about convertible bonds in the literature, but most of models not consider the company''s credit risk, it is unreasonable. Therefore we use the Chen and Yeh (2006) correction of Geske structural model, based on the value of the corporate assets which is the main variable. This model can calculate not only the probability of default under the liability structure, but also equity of corporate in every period. In this paper we select outstanding convertible bonds which not expired for June 22, 2010 to June 22, 2011. In according with the selecting, we use Geske model to calculate the theoretical price of the convertible bonds and then we will use the calculation to compare with market price. Finally, we will find out the effect on convertible bond pirce under company''s debt structure and credit risk.