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Valeri, Martina. "Reverse convertible bonds." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2016. http://amslaurea.unibo.it/10893/.
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I convertible bonds sono degli strumenti finanziari che conferiscono al suo possessore la facoltà di scegliere se, una volta scaduta l'obbligazione, essere rimborsato tramite una somma di denaro (valore nominale) oppure convertire l'obbligazione in un numero predefinito di azioni. Successivamente si è trattato l’argomento della tesi, i reverse convertible bonds. Queste obbligazioni sono simili ai convertible bonds con la differenza che in tal caso il diritto di scegliere se convertire o meno l'obbligazione in azioni è lasciato all'emittente e non al sottoscrittore. I reverse convertible si ottengono dalla combinazione di un coupon bond ordinario (senza l'opzione di conversione) a breve termine e di un'opzione put sulle azioni sottostanti. E' stata analizzata la formula di valutazione dei reverse convertible bonds, data dalla differenza tra il prezzo di un coupon-bond ordinario emesso dalla stessa società e il prezzo di un'opzione put (quest'ultimo moltiplicato per il rapporto di conversione, ossia per il numero di azioni che si ottengono dalla conversione di ciascuna obbligazione convertibile). E’ stata poi fatta un’analisi empirica dei prezzi dei reverse convertible bonds. Sono stati calcolati i prezzi di 7 reverse convertible utilizzando i dati forniti dal database finanziario e macroeconomico, Thomson Reuters Datastream.I prezzi calcolati sono stati poi confrontati con i prezzi di mercato di tali obbligazioni relativamente allo stesso istante temporale, il giorno 6/6/2016.
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Thompson, Kevin. "Analysis of convertible bonds." Master's thesis, University of Cape Town, 2004. http://hdl.handle.net/11427/4935.
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Choi, Chi Hung. "Analytics of duration and Greeks of convertible bonds /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20CHOI.
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Hariparsad, Sanveer. "The valuation and calibration of convertible bonds." Diss., Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-05052009-115008.
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Ekkayokkaya, Pollarat. "Convertible bonds in corporate finance." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/47370/.
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This thesis makes three main contributions to the literature on convertible bond financing. First, we provide a new theoretical explanation for convertible bond financing. Unlike the existing theory, our new theory provides a rationale for the issuance of both callable and non-callable convertible bonds. We also undertake empirical tests of the implications of the new theory and find that the new theory is supported by the empirical evidence. Second, we empirically examine the way in which firms choose the design of convertible bonds and investigate the effect of financial constraints on the firms’ convertible design decision. Consistent with our new theory, we find that the design of convertible bonds is influenced by both adverse selection costs and financial distress costs. Moreover, we find that the design of convertible bonds for relatively constrained firms is determined in a different manner from the design of convertible bonds for relatively unconstrained firms. Our findings suggest that taking into account the effect of financial constraints is important in the understanding of convertible design decisions. To the best of our knowledge, our study is the first to document the effect of financial constraints on choice of convertible design. Third, we empirically examine two alternative explanations for the late call of a convertible bond: the “optimal” call theory of Butler (2002) and the financial distress costs theory of Jaffee and Shleifer (1990). In contrast to the existing evidence reported in Altintig and Butler (2005), we find that the observed late calls cannot be explained by the effect of the notice period as incorporated in the optimal call theory of Butler (2002). The observed conversion premium is much higher than Butler’s optimal conversion premium. On the other hand, we find strong empirical support for the financial distress costs theory. Firms do not make a conversion-forcing call until the conversion premium is large enough to avoid a failed conversion, which could give rise to financial distress. We find that by the time a call is made, the probability of failed conversion is very small and the cross-sectional variation in the conversion premium is mainly explained by potential distress costs.
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Back, Alexander, and William Keith. "Valuation of Contingent Convertible Bonds." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188984.
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Contingent convertible bonds are hybrid capital instruments, contingent on some form of indicator of financial distress of the issuing bank. Following the financial crisis, these instruments are proposed as a solution to the moral hazard issue of banks too big to fail. With the increased capital requirements of the Basel III directive, contingent capital enables banks to increase their capitalization without issuing expensive equity. Also, in times of historically low interest rates, these instruments might be interesting for investors in search of higher yields, as well as long term investors wanting to implement countercyclical investment strategies. However, due to the high complexity of these instruments, valuation has proven diffcult. The purpose of this thesis is to value instruments contingent on the bank's common equity tier 1 to risk-weighted assets ratio. We build our model upon the work of Glasserman & Nouri (2012), and extend it to include contingency on risk-weighted assets, instant non-continuous conversion to equity, and a combination of fixed imposed loss and fixed conversion price as terms of conversion. We use a capital structure model in continuous time to define asset dynamics, asset claims and the event of conversion and liquidation of the bank. Thereafter we use two important results from Glasserman & Nouri (2012) to value the discounted cash flows to holders of debt and contingent debt. From this, we arrive at closed form solutions for the coupon rates of these securities.Contingent convertible bonds (villkoradeobligationer) är hybrida kapitalinstrument som beror på någon form av indikator på finansiell instabilitet i den emitterande banken. Efter finanskrisen har dessa finansiella produkter föreslagits som en lösning på dilemmat som uppstår när banker är för stora för att låtas gå omkull. Villkorade obligationer är en väg för banker att ta in kapital och uppfylla de ökade kapitalkrav som ställs av direktiven i Basel III utan att emittera kostsamt aktiekapital. I dessa tider av historiskt låga räntesatser är den relativt höga avkastning, tillsammans med de kontracykliska effekter produkterna ger dessutom intressanta för många investerare. Att värdera dessa produkter har dock visat sig svårt då de är mycket komplexa. Syftet med denna uppsats är att värdera villkorade obligationer som beror på relationen mellan bankens kärnprimärkapital och riskviktade tillgångar. Vi använder omvandling till aktiekapital som förlustabsorberingsmekanism och använder en kombination av fixerade konverteringspris och fixerade ålagda förluster som villkor för konversion. Vi använder en kapitalstrukturell modell i kontinuerlig tid för att definiera tillgångarnas rörelser, fordringar på tillgångarna och händelsen av konversion av kontraktet eller likvideringen av banken. Därefter använder vi två viktiga resultat från Glasserman & Nouri (2012) för att värdera de diskonterade kassaflöden till ägaren av obligationer och villkorade obligationer. Från detta hittar vi analytiska lösningar för storleken av kupongräntorna på obligationerna, villkorade som normala.
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Zadikov, Ariel. "Methods of pricing convertible bonds." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/11260.
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Includes abstract.Includes bibliographical references (leaves 112-115).
The aim of this dissertation was to build a basic understanding of hybrid securities with a focus on convertible bonds. We look at various methods to price these complex instruments and learn of the many subtleties they exhibit when traded in the market.
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Zimmermann, Paul. "On the hybrid nature of convertible bonds." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010076.
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Les obligations convertibles constituent l’outil privilégié des entreprises souhaitant se financer à la fois par l’emprunt obligataire et par les fonds propres. Instruments obligataires complexes, elles incorporent la plupart des caractéristiques des instruments dérivés sur actions. Leur nature fondamentalement hybride et leur politique de rappel anticipé au gré de l’émetteur sont deux des principaux thèmes de recherche émergeant de la littérature économique. S’agissant du risque de crédit, nous explorons d’abord la relation empirique entre coût de la dette et prix de l’action caractérisée par un paramètre d’élasticité crédit-action. Nous mettons en évidence le soubassement théorique de cette relation à partir du levier d’endettement financier de la firme. Nous montrons son utilité dans le cas des obligations convertibles en situation de détresse financière. Ce paradigme est ensuite généralisé aux titres hybrides en faisant le lien entre élasticité de la variance et levier financier. Nous revenons enfin sur la modélisation des obligations échangeables, avec l’introduction d’une covariance stochastique entre les deux sources de risque. Concernant l’aspect optionnel, nous réexaminons la question de la modélisation des dividendes discrets en numéraire. Nous proposons une nouvelle approche quantitative via l’ajustement de la surface de volatilité locale à la politique de dividendes. Ce faisant, nous mettons en lumière le cadre d’analyse propre aux obligations contractuellement protégées contre les dividendes. Cette démarche permet d’élucider les raisons structurelles qui poussent les émetteurs à rappeler et forcer la conversion de ces instruments de manière accéléréeConvertible bonds are the privileged instrument of corporations willing to rai se capital white benefiting from both debt and equity advantages. They are complex corporate securities which incorporate within a single derivative instrument man y features at the boundary of option theory. Three main research areas emerge: the economic rationale for convertible debt, the hybrid nature of convertible bonds and the analysis of the optimal recall policy lying in the hands of the rational issuer. ln the area of credit risk modeling, we first explore the credit-equity power relationship, an empirical parametrization of credit spreads by stock prices useful to mode! distressed convertible bonds. We provide a theoretical foundation for the credit-equity elasticity involving the financial leverage of the company. We apply the credit-equity power paradigm to derive a general modeling framework for hybrid securities, and we show how to link the variance elasticity to the corporate leverage. Finally, we revisit the valuation of exchangeable bonds by introducing stochastic covariance between the Iwo main sources of risk and introducing the leverage of the underlying entity in the model. ln the area of option pricing, we revisit the modeling of discrete cash dividends which remain notoriously difficult to handle absent an efficient modeling framework. Our approach provides the proper theoretical setting to analyze the dividend protection of convertible bonds, a standard feature since the late 2000s. We apply our modeling approach to the theoretical analysis of the optimal recall policy ofdividend-protected convertible bonds. We show a strong structural incentive for issuing firms to recall and force the conversion of their bonds as soon as possible
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Sörensson, Tomas. "Swedish convertible bonds and their valuation." Doctoral thesis, Handelshögskolan i Stockholm, Kostnadsintäktsanalys (C), 1993. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-893.
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Since 1980, many convertible bonds have been issued by Swedish companies. Most of these issues have been aimed at the employees. The great number of these employee issues gave rise to a new tax law. This tax law made it necessary to obtain a value on a convertible bond certificate at issue. In the first part of the dissertation, the institutional setting for the issuing of convertible bonds in Sweden is discussed. The relevant tax laws and recommendations given by different organizations are described. Also other features related to the issues are described. Furthermore, an empirical study of convertible bonds issues to emplyees in listed companies is carried out. The main purpose of the study is to quantify the volume of convertible bond issues to employees which have defaulted. Issues with a nominal value of around 500 million Swedish Crowns have been involved in some form of default. In this study, several models are compared to investigate whether the choice of model for valuing convertible bonds is important. These models all fall within the framework of Contingent Claims Analysis. Contingent Claims Analysis is an option based technique for determining the value of a claim whose payoffs depend upon the development of one or several underlying variables. In the study, it is shown in great detail how to set up and use those models. It is shown that the choice of model is important for the value of a convertible bond in certain situations. Those situations are identified by an empirical study of Swedish convertible bonds and through sensitivity analysis.Diss. Stockholm : Handelshögskolan, 1993
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Sörensson, Tomas. "Swedish convertible bonds and their valuation /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1993. http://www.hhs.se/efi/summary/368.htm.
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Dimitry, Johan. "A mathematical study of convertible bonds." Thesis, KTH, Farkost och flyg, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-151312.
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A convertible bond (CB) is a financial derivative, a so called hybrid security. It is an issued contract from a company or a government, which is paid for up-front. The contract yields a known amount at the specified maturity date, unless the holder chooses to convert it into an amount of the underlying asset. This kind of financial products can have complex features affecting the contract price and the optimal exercising situation. The partial differential equation (PDE) approach used for pricing financial derivatives makes it possible to describe convertible bonds with a physical model, a reversed diffusion described by a parabolic PDE. One can sometimes find both analytical and numerical solutions for this type of PDEs and interpret the solutions from a financial point of view, as they suggest predictable behaviour of the contract price.
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SOUZA, GIULIANO CARROZZA UZEDA IORIO DE. "EVALUATING CONVERTIBLE, CALLABLE AND REDEEMABLE BONDS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8742@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOEm artigo publicado em 1986 no Journal of Finance, LYON Taming [35], John McConnell e Eduardo Schwartz desenvolveram um modelo para apreçamento do Liquid Yield Option Notes (LYON), um título que não contempla o pagamento de cupom, em que o investidor possui opção de venda e o direito de convertê-lo em um determinado número de ações do emissor que, por sua vez, possui opção de compra, na qual, assim como no caso da opção de venda, o ativo objeto é o próprio título. Como estão inerentes ao título opções e a conversibilidade, o alicerce teórico para a análise realizada pelos autores baseouse na teoria de apreçamento de opções, desenvolvida por Black e Sholes (1973) [6] e estendida por Merton (1973) [37]. McConnell e Schwartz assumiram as taxas de juros como determinísticas e dependentes somente do tempo. Em linhas gerais, o modelo por eles criado norteia-se na resolução da equação diferencial para um derivativo dependente de uma ação que distribui dividendo continuamente. O presente trabalho consiste na avaliação do título conversível LYON a partir da aplicação de três dos métodos mais modernos e eficientes para avaliação de derivativos: Método de Diferenças Finitas Implícito (DFI), Método dos Mínimos Quadrados de Monte Carlo (MQMC) e Método de Grant, Vora e Weeks (GVW). Assim, além de apresentar o modelo desenvolvido baseado no Método de Diferenças Finitas Implícito - que consiste na resolução da equação diferencial por aproximações das derivadas quando não há solução analítica para o problema, resultando em uma malha que representa valores do mesmo para cada instante de tempo e preço da ação do emissor discretizado no modelo-, pretendese avaliar a eficiência do Método de Simulação de Monte Carlo considerando suas sofisticações mais recentes aplicáveis ao apreçamento de derivativos, tais como os modelos MQMC e GVW, que apresentam boa aplicabilidade e versatilidade para o apreçamento de títulos como o em questão. Um grande desafio do trabalho encontra-se na aplicação destes modelos para a avaliação de um título com a complexidade do LYON, já que tanto o modelo MQMC quanto o GVW foram desenvolvidos pelos autores para o apreçamento de opções americanas tradicionais. Por sua simplicidade e aplicação aos problemas em finanças, conforme se pode observar nos trabalhos de Marins (2006) [33] e Frota (2005) [19], utilizou-se a técnica de Variáveis Antitéticas como técnica de aceleração de convergência nas adaptações dos modelos MQMC e GVW desenvolvidas. Embora outras técnicas também gerem um bom nível de eficiência, esta é uma das que comprovadamente reduz o tempo de processamento dos modelos de simulação, além de gerar melhorias significativas em termos de convergência, conforme também se pode observar nos trabalho de Marins e Frota. As demais técnicas de importância já reconhecida também são descritas brevemente no trabalho. Conforme afirmam McConnell e Schwartz (1986) [35], a utilização da taxa de juros como determinística não traz nenhum tipo de problema. Ramos (2005) [41] afirma também que os modelos de apenas um fator são considerados mais precisos, uma vez que a modelagem da taxa de juros como estocástica mostrou-se de importância secundária em diversos trabalhos já desenvolvidos neste sentido. Desta forma, serão aplicados os três métodos para apreçamento do derivativo considerando como variável estocástica o preço da ação do emissor. A avaliação dos modelos será realizada através da comparação entre os resultados encontrados, bem como com aqueles apresentados por McConnell e Schwartz no artigo citado anteriormente.
In their 1986 Journal of Finance article, LYON Taming, John McConnell and Eduardo Schwartz outlined a technique for pricing Liquid Yield Option Notes (LYON´s). In the words of McConnell and Schwartz, a LYON is a zero coupon note which is convertible, callable and redeemable. The convertible aspect of the LYON allows the holder of the note to convert the LYON at any time into a predetermined number of shares of the issue´s stock. The callable clause of the contract enables the issuer of the LYON to call the LYON for either, according to the choice of holder, the exercise price of the call option or for an equivalent amount issuer stock. Finally, the holder has the choice to redeem the LYON for a predetermined monetary amount. Considering the fact that these kind of assets have embedded derivatives (i.e., puts and calls), it is quite intuitive that the appropriate way to analyze them is through the contingent claim methodology, valuing them according to the Pricing Options Theory - developed by Black and Shole (1973) [4] and extended by Merton (1976) [22] - McConnell and Schwartz simplified the problem by assuming that, for an instance, the interest rate were flat and known. Based on that, the main idea behind the model is solving the differential equation that describes the behavior of that bond as a function of the stock price (stochastic variable) and the time horizon till the maturity of the bond. This present paper aims at evaluating the LYON convertible bond by means of three of the most modern and efficient methodologies to appraise derivatives: Finite Difference Method (FDM), Least Square Monte Carlo (LSM) and Grant, Vora & Weeks (GVW). Thus, besides presenting the developed model based on the Finite Difference Method (which consists in solving the differential equation when there is no analytical solution to the problem and in determining the behavior of the bond through a network which represents values of the bond achieved by approximations of the derivatives), the aim is to evaluate the efficiency of the Monte Carlo Simulation Methodology considering its more recent features applicable to the appraisal of derivatives such as the LSM and GVW models, which present good applicability and versatility for the appraisal of bonds like the one in question. The great challenge lies in using these models with a view to appraising a bond as complex as LYON, seeing that both the LSM and the GVW models were developed and used by the authors only in the appraisal of traditional American options. For its simplicity and application to the problems in finance, as it can be observed in Marins (2006) [33] e Frota (2005) [19], the Antithetic Variables technique was used so as to accelerate the convergence in the developed adaptations of MQMC and GVW models. Although other techniques also produce a good level of efficiency, this one has proved to reduce the processing time of the simulation models and make significant improvements in convergence terms, as it can also be observed in Marins´s and Frota´s papers. The other techniques of recognized importance in the academic field are also briefly described here. According to McConnell e Schwartz (1986) [35], considering interest rates as deterministic variable doesn´t create problems. In the same line, Ramos (2005) [41] said that the models with just one factor are considered precise. According to several papers analyzed by her, the use interest rates as stochastic variable shows to be of secondary importance. Therefore, the three methods for appraisal of the derivative will be applied, considering the issuer´s stock price as stochastic variable and then a comparison will be made with the results found as well as with those presented by McConnell and Schwartz in the article mentioned above.
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Dufour, Partanen Bianca, and Emelie Järnberg. "Convertible Bonds: a Qualitative and Numerical Analysis." Thesis, KTH, Matematik (Inst.), 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-147346.
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A convertible bond is a nancial instrument which has both an equity part and a xed-income part. The pricing of nancial securities has for quite obvious reasons become extensively studied in the past decades. In this paper we study the Black-Scholes model, based on the equity value, where the equity is modelled by geometric brownian motion. We introduce the pricing of nancial securities in general by Partial Differential Equation (PDE) approach. We continue by studying the convertible bond with a call feature, which is a derivative of the stock price. Our model leads to a free boundary problem together with a parabolic partial differential equation. We also give some analytical results on uniqueness and monotonicity of the solutions. This paper ends with a numerical study of the solutions for different bond features.
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BermuÌdez, Ana. "Valuation of convertible bonds modelling and implementation." Thesis, City University London, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418936.
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Koziol, Christian. "Valuation of convertible bonds when investors act strategically /." Wiesbaden : Dt. Univ.-Verl, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012043043&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Simillis, Michalis. "Implementing arbitrage-free models for pricing convertible bonds." Thesis, Imperial College London, 2005. http://hdl.handle.net/10044/1/11907.
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Weitz, Sebastian Georg [Verfasser]. "Analyse von Contingent Convertible Bonds / Sebastian Georg Weitz." Tübingen : Universitätsbibliothek Tübingen, 2020. http://d-nb.info/1215568797/34.
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Patel, Priyesh K. "Pricing convertible bonds with equity, interest and credit risk." Thesis, Imperial College London, 2007. http://hdl.handle.net/10044/1/11859.
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Dan, Fred, and 鄧福瑞. "Convertible bonds valuation." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/09095675877564538738.
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碩士輔仁大學
金融研究所
84
This paper mainly investigate domestic prices of convertible bonds. By deriving partial differential equations, we can obtain the value of convertible bonds through numerical analysis. Through model modification and foreign convertibles'' pricing, we convey whether the difference between market prices and theoretical prices arise from domestic structural factors and market inefficiency. In the analysis of empirical research, there are differences between unmodified theoretical prices prices and market prices. After modification, theoretical prices can better explain the trend of market prices. In the test of foreign convertible bonds, we obtain the theoretical prices very close to market prices if we apply this model to foreign price samples. Therefore, we conclude that owing to conversion restrictions, short sale restrictions, and market inefficiency, domestic prices of convertible bonds cannot fully explain market prices.
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Wang, Po-Cheng, and 王博正. "Convertible Bonds Analysis." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/72972479375666096254.
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碩士國立臺灣大學
法律學研究所
101
Abstract This thesis centers on the analysis of convertible bonds. Convertible bonds have a peculiar characteristic, which combines debt and equity features in a single security, and the hybrid characteristic may cause some loopholes in the law. Therefore, this paper tries to introduce foreign laws in all aspects of convertible bonds, in order to have a maturer direction of amendment. The first part of this thesis discusses on the fundamentals of convertible bonds, starting with outlines of convertible bonds, including the conceptions, the laws and the realities of issuance, and goes deep into processes of convertible bonds, including the issuance, the trading, the conversion and the settlement. The purpose of this part is to have basic comprehension for the sake of discussion on the second part. The second part of this thesis focuses on the protections for all parties concerned in convertible bonds, including the issuing company, the convertible bondholders and the existing shareholders, especially for the bondholders and the shareholders. Due to their more insufficient self-protection abilities comparing with the issuing company, a re-examination is necessary and beneficial, and it’s also the highlight of this paper.
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Jen, Chiou Ian, and 邱臙珍. "Warrants and Convertible Bonds." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/48072022819371114663.
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KUO, CHIH-YI, and 郭智怡. "Signaling of Convertible Bonds." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/5cstmt.
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碩士國立高雄應用科技大學
金融系金融資訊碩士在職專班
105
The purpose of this study is to discuss the predictions of the announcement effects and the operation performance of issuing convertible bonds. The possible growth and differences among industries are considered while the insider stock-holding shifts and the R&D expense are also examined to see the relevance of predicting the operation performance.The results under Event Study analysis showed that issuing convertible bonds will cause negative abnormal return which reaches statistical significance. Although the levels of the abnormal return differ on the industries, they are all negative abnormal return. Through regression analysis, the results show that the increase of stock-holding of the directors and officers before issuing convertible bonds has no relevance with operation performance while increasing R&D expense has positive effects on operation performance after issuing convertible bonds.
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Kuo, Chien-lin, and 郭建麟. "Arbitrage of Convertible Bonds." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/02280607667580047473.
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碩士國立雲林科技大學
企業管理系碩士班
91
The convertible bond was not widely acknowledged by the people in the 18th century, alone with its complicated valuation which has caused most of the investors overlooked its advantages. Since the issuer of the convertible bond has increased rapidly in 1980, it started to draw both private and public investor's attention, and because of this reason, the convertible bond issuing company became the focus of the investment population gradually. However, investors didn't have good evaluation for such a high complexity derivative bonds. In fact, there are a numerous elements that could affect the convertible bonds, including stock price, exercise price, the fluctuation of the stock, risk rate, deadline, dividend and etc. Due to the large amount of influences, it causes difficulties for the investors to judge its essence value. Therefore, to approach to the true theoretical value, it is necessary to establish an evaluation model that it is based on accuracy with theoretical references. According to the deadline limitation of the convertible bonds, the convertible bonds itself can be divided into "European Option" and "American Option". When refer this analysis to the Put-Call Parity, a model which calculates the theoretical value of the convertible bond can be practiced out, and to operate in coordination of the "European Option" and "American Option" simultaneously for measurement in order to find out the complete theoretical value of the convertible bond. Maybe through this mathematics evaluation model, we are able to reveal the theoretical value of the convertible bond, and help the investors to make a more accurate and efficient investment decision.
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Lin, Chung-Yih, and 林忠義. "Pricing Convertible Bonds and Analytics." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/39586486461019720315.
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Chen, Tsun-Hsien, and 陳存賢. "why firms issue convertible bonds?" Thesis, 2005. http://ndltd.ncl.edu.tw/handle/24337289248856391563.
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碩士國立成功大學
工業與資訊管理學系碩博士班
93
With more and more loosened government regulation and flourishing capital market development, is there any difference in consideration of corporate funding? The convertible bond is more popular. However, most researches focus on risk shifting and reduce the information cost. Stien（1992）propose improving corporate capital structure thesis hypothesis. With conversion to force investors to convert bonds to stocks, corporate can improve its capital structure. Isagawa（2001）found managers would make policy for their own interest. Managers have strong motive of issuing convertible bond and decrease the probability of bankrupt. Therefore, this research will discuss the motives of companies in Taiwan. By collecting convertible bond events, we can test evidence of the proposition of improving capital structure. As for investigating managers’ motives, we use regression analysis to know the connection between financial crisis and convertible bonds. We can find evidence in Taiwan market that calling firms have remarkable growth in total asset, current asset and current liabilities. Managers also have incentive to issue convertible bond to prevent financial crisis. However, we can take into account before investing to avoid bad companies. For companies’ reference, they can find best solution of funding. Most important of all, the regulator should pay more attention on the signals of bad companies issuing convertible bonds to reduce the impact to the financial market.
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Chen, Da-wei, and 陳大衛. "Business Cycle And Convertible Bonds." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/76160860906082216764.
Full textAbstract:
碩士國立交通大學
財務金融研究所
99
This paper takes account of the business cycle and uses a contingent-claim model to price convertible bonds. After issuing a convertible bond, the firm chooses the optimal bankruptcy strategy in order to maximize the value of shareholder equity. The bondholder exercises the optimal conversion strategy in order to maximize the value of the bond. Therefore, the value of convertible bonds is regarded as a Nash equilibrium. Besides, this research thinks over the variation of the business cycle in the model, where the business cycle is based on Markov switching model, computing the optimal decision for voluntary conversion and bankruptcy in different business phase, respectively. The numerical simulation results show that the bondholders will delay converting convertible bonds in recession business phase. In extension business phase, the bondholders will early convert convertible bonds.
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Lin, Su-Yuan, and 林思源. "The Emperical Study of Pricing Model for Convertible Bonds--Evalution of Convertible Bonds in Taiwan." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/59672238371843819336.
Full textAbstract:
碩士國立臺灣大學
國際企業學系
86
This study evalated 49 convertible bonds which were traded in the Taiwan Security Exchange through February,1998.In order to make this easier,we replaced the market value of the companies with their common stock prices.The Explicit Finite Difference Method which we used was similar to the Trinomial Tree.Compared to the Implicit Finite Difference Method which was similar to the Multinomial Tree Method ,this method required less constraint conditions and was more efficient in making calculation.The first time,we used the Extanded Vasicek Model which Hull and White provided in 1994 as our interest rate model.This model was the One-Factor Interest Rate Model and made the Interest Rate Change Process match the initial term structure. The result showed that when we compared the model price that we evaluated and the market price,the model price was overestimated and was higher than the market price.Finally,we changed the security constraints and evaluated them again.We understood that the Put Value was higher than Call Value,anf the coupon embedded in the convertible bonds and the stock price rose alonng with thevalue of convertible bonds.In this study,we also did the sensitivity analysis to the parameters which we estimated.Through this analysis,we found that the effect which was produced by the standard error of the stock return rate was the greatest.The probable reasons are listed below:1.The error which was probably caused by estimated parameters.2.The liquidity of the convertible bond market in Taiwan was not very good so that the market price couldn''t reflect their true value.3.The security constraint such as the Put ,convertible underlying,and the form of dividend distribution etc. were not considered in detail.
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"A study of convertible bond: optimal strategies and pricing." Thesis, 2010. http://library.cuhk.edu.hk/record=b6074898.
Full textAbstract:
In the first part, we propose a non-zero-sum stochastic game approach of pricing convertible bond under the framework that the capital structure of the firm involves tax rebate and endogenous default policy. Convertible bond is a hybrid security which embodies characteristics of both straight bond and equity. Beyond the bond provisions, it endows a conversion option for the bondholder to convert the bond for the equity of the issuing firm and a call option for the firm to buy the debt back. The conflict of interests between bondholder and shareholder affects the security prices significantly. In Chapter 2, we investigate how to use a non-zero-sum game framework to model their interaction and to evaluate the convertible bond accordingly. Mathematically, this problem can be reduced down to a system of variational inequalities. After we clarify the structure of the optimal exercise region of both parties, we manage to explicitly derive a unique Nash equilibrium to the constraint game and specify the associated optimal exercise strategies. Our model shows that tax benefit and credit risk can produce considerable impact on the optimal strategies of both parties. The firm may issue a call when the debt is out-of-the-money or in-the-money. This is consistent with the empirical findings of "late and early calls" (Ingersoll (1977), Mikkelson (1981), Cowan et al. (1993) and Ederington et al. (1997)) . In addition, the optimal call policy under our model offers an explanation to some stylized patterns related to the returns of the company value as well.In the second part, we use Laplace transform to study the pricing problems of various path-dependent exotic options with the underlying asset following an exponentially distributed jump diffusion process. These exotic options include double-barrier option and some occupation-time-related derivatives such as step options, corridor options, and quantile options. The result about double barrier options is presented in Chapter 3, where we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution. Chapter 4 is our work on occupation-time-related options, which presents an extension of the Black-Scholes setting to Kou's double-exponential jump diffusion model. We derive the closed-form Laplace transform of the joint distribution of the occupation time and the terminal value of the double-exponential jump diffusion process, and apply the result to price various occupation-time-related derivatives. This is done by solving the associated two correlated ordinary integro-differential equations, thanks to the special property of the exponential. All the Laplace transform-based analytical solutions can be inverted easily via Euler Laplace inversion algorithm, and the numerical results illustrate that our pricing methods are accurate and efficient.
Key words. Convertible Bond; Non-zero-sum Differential Game; Tax Benefit; Credit Risk; Early/Late Calls; Positive/Negative Stock Return; Double-barrier Options; Step Options; Corridor Options; Quantile Options; Occupation-Time; Jump-Diffusion Process.
This dissertation contains two parts: a non-zero-sum game approach of convertible bond and exotic options pricing under exponential-type jump-diffusion model.
Wan, Xiangwei.
Adviser: Nan Chen.
Source: Dissertation Abstracts International, Volume: 72-04, Section: B, page: .
Thesis (Ph.D.)--Chinese University of Hong Kong, 2010.
Includes bibliographical references (leaves 157-170).
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Abstract also in Chinese.
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Chi, Ching-Yao, and 紀景耀. "Pricing Convertible Bonds with Credit Risk." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/24468616661334526898.
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GREG, MADDUX, and 蕭雯耿. "Factors affecting firms issuing convertible bonds." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/67233987865626886940.
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Ko, Shi-An, and 柯錫安. "Pricing Convertible Bonds with Credit Risk." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/02806871433218332022.
Full textAbstract:
碩士國立中央大學
財務管理研究所
89
Abstract Credit risk plays a very important role in the valuation of convertible bonds. In this study we use the model that was developed by Longsta_ and Schwartz (1995) to esti- mate the credit risk of convertible bonds. Moreover, the Least-Square-Method (LSM) proposed by Longsta_ and Schwartz (2001) is used to handle the hybrid features of convertible bonds. We also examine the e_ect of volatility on the value of convertible bonds and the duration of convertible bonds for di_erent parameters. The result shows that the value of convertible bonds may increase or decrease as the volatility of the firm''s value increases. The price of the convertible bonds is the result of a ombination of the debt part and the option part. Moreover, the duration of the convertible bonds, at low volatility, increases as the coupon rate increases when the other conditions are the same.
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Lin, Alice, and 林淑芬. "Investment strategy on the Convertible Bonds." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/43295972423888723168.
Full textAbstract:
碩士長庚大學
企業管理研究所亞太營運管理組
100
With the rapidly increasing issues of the terms and amount of convertible bonds in Taiwan after the year of 2001, the number of the investment targets has become considerably amazing. Thus, the choice of investment targets demands more difficulty for general investors. As to the investment in convertible bonds, the purpose of the thesis is to present how to obtain more capital gains in addition to the fixed income. Therefore, the thesis is primarily based on the discussion over the cross analysis and impact factors remaining in the rating of conversion premium and bond price. Hopefully, it will provide references concerned about the return and the risk for investors to judge from when investing in convertible bonds.
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Kuo, Chao-Yi, and 郭昭毅. "Analyzing Convertible Bonds under Asymmetric Information." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/15930821119445277960.
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Hsu, Yu-Hsuan, and 許毓玹. "Study of the Comprehending Convertible Bonds." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/30208707130266793203.
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碩士國立暨南國際大學
管理學院經營管理碩士學位學程碩士在職專班
98
Abstract With the plural development of the convertible bond arbitrage capital market, avoid the dangerous piece taking convertible company's debt as arbitrage of fund and double in recent years, the convertible company's debt is avoided the favoring of the dangerous fund, become the more and more popular investment tool, there must be its unique places, and the overseas convertible company's debt is a great helping hand that the company expands the overseas market. Understanding convertible company's debt in research purpose of this thesis: (1)The stock of the company and convertible bond price have not gone up or dropped at the same time, have an opportunity to set up the convertible multicipital position of bond, the empty basic stock is put at the same time, carry on arbitrage between these two kinds of transactions. (2)If convertible bond price is close investing value, show that the stock price changed has not converted into money greatly, investors can buy the convertible bond, and put and leave half of the stocks spaces, have bulls and nominal position at the same time. So as to one kind of arbitrage forms, investors needn't be afraid that the stock price goes up or drops, can bring and make a profit if go up at the convertible bond price. (3)Adopt the trade tactics of the convertible company's debt to apply the kind which avoid the dangerous fund to and have long-term investment (Buy & Hold), the assets exchanging (Asset Swap), arbitrage (Arbitrage), Delta avoids relevant tactics, such as dangerous, PIPES (Private Investment in Public Equitys),etc. to examine the performance of the convertible company's debt. (4)Fluctuating rate of price of the convertible arbitrage index, less than global stock index and S&P 500 index obviously, important Sharp is it show remuneration risk, transferable bond of arbitrage superior to the stock market to lead. (5)The behavior of the convertible arbitrage index, the relevant degree while displaying with the stock price is very low that influenced by stock market very small (β value). (6)The remuneration behavior of the arbitrage of the transferable bond is similar to stocks, but remuneration person who fluctuates lower than general bond, prove transferable bond arbitrage fund in why be general reason that favor over the last ten years.
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Tsai, Wan-Yu, and 蔡婉鈺. "Risk Management and Contingent Convertible Bonds." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/25673391809742643910.
Full textAbstract:
碩士國立交通大學
財務金融研究所
101
After the financial crisis of 2008, contingent capital such as contingent convertible bond (CCBs) receives much attention. CCBs represent an important instrument to alleviate the difficulties of recapitalization as well as reduce the probability of default. However, we argue that contingent convertible bonds financing may have the opposite effect. CCBs always distort risk-taking incentives; that is, firm managers have incentive to take excess risk if the firm issues CCBs as a part of its debt. Moreover, the two characters, conversion ratio and conversion threshold of contingent convertible bonds, play a crucial role in the capital structure and optimal policy decisions. Therefore, finding a mechanism to prevent the risk-taking incentive imposed by contingent convertible bonds will be the major challenge and this study can provide a suggestion in corporate financing.
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Yeh, Shih-Man, and 葉士嫚. "Pricing Convertible Bonds with Default Risk." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/14297665801560286481.
Full textAbstract:
碩士雲林科技大學
財務金融系碩士班
98
A convertible bond has characteristics of stocks and bonds. It exposes the risk that the company can’t repay the debt. Therefore, credit risk plays an important role in pricing the convertible bond. This article applies CRR model and BDT model to evaluate the convertible bond. Meanwhile, we discount the stock and the bond with the risk-free rate and the risky rate, respectively. Accordingly, we calculate the convertible bond price with default risks. First, we compare the differences between various interest rate trees for values of three-year convertible bonds. Secondly, we analyze the influence on default risks for values of convertible bonds. Finally, we investigate the tendency for values of convertible bonds under different stock volatility and recovery rates.
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Tsai, Tsung-Yu, and 蔡宗佑. "Empirical Study on Pricing Convertible Bonds." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/97876454236249601908.
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碩士萬能科技大學
資訊管理研究所
99
A convertible bond is a bond that the holder can convert the bond into shares of the issuing company. When the issuer stock price is high, the holder can convert the bond into shares of equity. On the other hand, the holder can continue to receive interest and principal of the bond if no default event occurred before maturity. Convertible bond is a hybrid security between bond and equity. In this study, we establish a convertible bond information system. Users can get not only on-line and real-time trading data of Taiwan’s convertible bonds but their theoretical value, asset swaps, and Greeks. In the system, we use binomial tree model, trinomial tree model, and least square Monte Carlo methods to price convertible bonds respectively. We find that trinomial tree model is the best choice to implement the system. We also use GPU computing techniques to enhance the computing efficiencies versus a single CPU. We get more than 200 times speed-up in our experiments. We believe that the skill can be used in other applications of financial computing.
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Lin, Chun Yu, and 林純宇. "Corporate Call Policy for Convertible Bonds." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/sm3a5c.
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Sung, June-E., and 宋榮娥. "The corporations character of convertible bonds with convertible price reset research." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/47126223434433898916.
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碩士中國文化大學
會計研究所
88
The purpose of this paper is to investigate the relation of offering convertible bonds with option to reset the conversion price. To realize which kind of companies tend to choose convertible bonds with reset option to financing. The sample begins from the is-sue of the convertible bonds in 1996 to 1996, totally 45 issuers. And to observe the cor-porations character of convertible bonds with reset option. Based on Jing-rong Lin (1991), Xi-ming Yan and Gin-ling Lin (1994)’s logit and probit regression analysis research is to investigate the character of convertible bonds with reset option. The empirical results show that: 1. When inventory turnover, price/earning ratio is low, or the growth rate of net income after tax is high, the company tend to issue convertible bonds with convertible price reset. 2. The best portfolio analysis, when inventory turnover, liability ratio is low, or opera-tion sacle, total assets turnover(net value turnover), cash flow ratio, or the growth rate of operating income is high, the company tend to issue convertible bonds with con-vertible price reset.
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Liao, Yu-Lu, and 廖幼如. "A Study of Announcement Effect of Convertible Bonds and Euro-Convertible Bonds Issuance in Taiwan''s Listed Companies." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/r67z8a.
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碩士銘傳大學
管理研究所
95
This research employs event study’s market model to explore the impact on stock market returns when companies announce issuing convertible bonds on domestic and foreign markets on the board of director’s meeting date and the issuing date. The main difference between this research and the previous ones is that it incorporates not only domestic CB but also Euro CB. In addition, this research will categorize the underlying companies according to their industries, credit rating, size of the underlying industry, use of capital, EPS and P/E ratio in order to study which factors will influence the performance of the stock return when a company issues convertible bonds. The result reveals that companies announce issuing convertible bonds on domestic and foreign markets on the board of director’s meeting date are negative abnormal returns and positive abnormal returns on the issuing date. Therefore, investors treat that issuing convertible bonds as a bad signal on the board of director’s meeting date. However, except the size of the underlying industries, use of capital, credit rating, other factors such as EPS and P/E ratio all provide significant impact on the stock returns.
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Chiu, Hua-Kuang, and 邱華光. "The Impact of Convertible Bond Introductions on the Underlying Stocks, with a Comparison to Euto Convertible Bonds." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/54031717185661871176.
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Wu, Tai En, and 吳岱恩. "Pricing Euro-Convertible Bonds with Credit Risk." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/12546269188806087032.
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碩士國立政治大學
金融學系
104
The number of Euro-convertible bonds issued has highly increased in the early 2010s. However, the related literature is barely found. This paper studies the pricing models of this investment product. Euro-convertible bonds are complex instruments affected by the credit risk of the issuers, the dynamic process of stock prices, the term structure of the interest rate and the movement of the exchange rate in the same time. Accordingly, building the ECB pricing model is a hard work. This paper presents a model considering the dynamic credit risk and jump in stock price process to make valuation more precise. Another advantage of models in this paper is use of stochastic interest rates for both local and foreign so as to make the model more staying with the real world. The other advantage is taking the correlation between each random variables into account. For pricing the Euro-convertible bonds, the numerical methodologies used in this paper are three-dimension binomial tree and least squares Monte Carlo approach. For purpose of assessing the performance of the model, two Euro-convertible bonds issued by Taiwan companies are chosen as samples and the difference between the theoretical price and market price during its issue period are provided. The results demonstrate that in spite of pretty slight overestimation, the least squares Monte Carlo simulation does a better job. In addition, this paper performs several kinds of sensitivity analysis to have in-depth understanding about the models. The consequence shows that the volatility of a stock return and the correlation between stock and exchange rate play a central role in ECB valuations.
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Chang, Yi-Chien. "Pricing Convertible Bonds: The Chou Chin Issuance." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1807200422573800.
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Li, Lucy Xingwen. "Pricing convertible bonds using partial differential equations." 2005. http://link.library.utoronto.ca/eir/EIRdetail.cfm?Resources__ID=370155&T=F.
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Huang, Li-Ting, and 黃莉婷. "The Convertible Bonds Financing and Earnings Management." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/16889995530310824959.
Full textAbstract:
碩士輔仁大學
會計學系碩士班
97
This thesis examines whether the issuance of convertible bonds (CB) results in accruals earnings management during the year of redemption and maturity, as well as prior to the year of issuance, using a sample selected from Taiwan listed and OTC firms which had issued CBs during the period from 2000 to 2003. I find that firms having issued convertible bonds had significantly positive discretionary accruals during the life of CBs and the magnitude of earnings management was particularly pronounced during the year of redemption or maturity. I also find that those firms having worse credit ratings or having lower liquidity had higher incentive to engage in earnings management to avoid defaults during the year of maturity.
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Hung, Chih-Ying, and 洪芝瑩. "A Study on Accounting for Convertible Bonds." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/93400159584066459893.
Full textAbstract:
碩士國立臺灣大學
會計學研究所
94
Convertible bonds are the hybrid securities with the properties of the bond and stock. In Taiwan, for the demand of investors, most convertible bonds have call option, put option, and reset option. Because the ROC Statement of Financial Accounting Standards no. 34 abolished the ROC Statement of Financial Accounting Standards no. 21, a portion of the proceeds received for bond should be attributed to the conversion and accounted for as paid-in capital. The purpose of this paper is to investigate the ROC Statement of Financial Accounting Standards no. 34 and the ROC Statement of Financial Accounting Standards no. 36 to understand the accounting for convertible bonds. This study also discuss how to account for convertible bonds when convertible bonds are embedded in other options. The remainder of this paper is based on proprietary theory to propose the accounting for performance-contingent claims or securities and make an example of convertible bonds.
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Yang, Hua-Nan, and 楊華南. "Emperical study for convertible bonds of Taiwan." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/99900175685785627908.
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Chien, Wei-Sheng, and 簡偉勝. "Valuation of Convertible Bonds with Jump Risk." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/54792780465048625283.
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碩士元智大學
財務金融學程
99
The model in this paper is based on Liao and Huang (2006), which not only contains tax benefits and bankrupt costs, but also takes refunding costs and a call notice period of the redemption into consideration. Merion Jump-diffusion process is chosen as the measurement of firm’s value process to recalculate the value of convertible bond and to discover the optimal strategy. The results demonstrate that the asset value is overestimated without considering jump risk. Thus, the optimal call strategy of convertible bond with jump risk will be higher than without jump risk and the optimal conversion strategy will be ahead of time.
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Wang, Hsin-Yin, and 王心吟. "Valuation of Convertible Bonds with Default Risk." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/97140461178306194444.
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碩士國立臺灣大學
數學研究所
97
This paper presents the valuation of convertible bonds by using stock price, short rate, and default risk. We used binomial (CRR) Model to construct binomial stock price tree; while short rate was transformed into two binomial trees by using Ho-Lee Model and Black-Derman-Toy (BDT) Model. Two different equations were obtained while analyzing default risk by Chambers-Lu Model and by Hung-Wang Model. By investigate these two equations, we demonstrated if the longer the duration, the smaller the price of default-free bonds. Then, default probabilities obtained by Chambers-Lu Model tend to be greater than the probabilities obtained by Hung-Wang Model. After using stock price, short rate, and default risk to construct hexnomial tree and calculate risk-neutral probabilities, we concluded that the model is incomplete since these prices were not unique. Convertible bond price intervals were calculated using by risk-neutral probabilities. We observed that the probabilities used in the paper introduced by Hung and Wang were not risk-neutral probabilities. Moreover, we compared and discussed the convergence convertible bond price intervals as the number of periods→∞.
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Chang, Yi-Chien, and 張益堅. "Pricing Convertible Bonds: The Chou Chin Issuance." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/52281220504119458007.
Full textAbstract:
碩士國立臺灣大學
財務金融學研究所
92
This thesis discusses the characteristics of convertible bonds (CB''s), using an issuance of the Chou Chin Industrial Corporation in year 2002 as an example. The contract of a convertible bond is usually quite complicated. We often look at the CB as a straight bond with an attached option to convert into common stocks. Furthermore, most contracts include the call provisions that the issuing company could buy back the issue under certain circumstances, the put features that the CB holders could sell the bond to the issuing company, and some reset features that allow the adjustments of the coupon rate, the conversion ratio, or the maturity date. In the Chou Chin’s case, the main effect of the call is to force the holders to convert the bonds into the common stocks. The conversion price is reset every half year. This thesis uses the Monte Carlo simulation to price the CB; therefore, handling the reset feature is straightforward. The put feature is a main concern of this thesis. A multi-layer Monte Carlo simulation is used to handle the put provisions. The Chou Chin common stock trading default event burst on March 6th, 2003, and the thesis will discuss this event and its consequences.