可轉債選擇權評價與模擬Call Option on CB - Structure and Pricing

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姓名

賴曉薇(Hsiao-Wei Lai) 查詢紙本館藏

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財務金融學系

論文名稱

可轉債選擇權評價與模擬Call Option on CB - Structure and Pricing
(Call Option on CB -Structure and Pricing)

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摘要(中)

可轉換公司債兼具權益與負債等混合性證券特質，本文將研究其結構拆解後之可轉債選擇權評價與模擬。在文中將介紹可轉債資產交換交易之交易結構與相關交易合約，並引進Least-Square蒙地卡羅法，針對可轉換公司債選擇權，建構股價、利率及信用風險等三因子模型，模擬其演變路徑而進行選擇權評價。
自敏感度分析，研究歸納三個主要影響可轉債選擇權價值之因素: (1)可轉換公司債信用評等(2)可轉換公司債賣回溢價(Yield to Put) (3)利率水準。評價過程中，本研究同時模擬可轉換公司債與可轉債選擇權之價值，並將模擬所得之可轉換公司債價值減去轉換價格，作為可轉債選擇權價值之比較基礎。研究發現信用評等不佳之公司債，因破產風險升高將導致債券價值驟減，反之，其選擇權因握有免於承受破產風險而仍享有可轉債收益之機會，投資人將相對偏好持有可轉債選擇權；可轉債賣回溢價減少，將降低可轉換公司債到期之期望收益，可轉債選擇權價值則相對較高；當初始利率增高，債券價值將降低，可轉債選擇權則相對具有價值。此研究結果，將提供券商及投資人對於可轉債交換交易與可轉債選擇權之發行標的、發行時機與選擇權評價，作為相關之參考文獻。

摘要(英)

This paper investigates call option pricing of the stripping of convertible bonds into equity component and debt component. We introduce the asset swap business structure and corresponding transaction contracts. In addition, we use a Least-Square Monte Carlo simulation approach to price call option on CB with three state variables, stock price, risk-free interest rate, and credit risk.
From the sensitivity analysis, we found three interesting issues. One is a call on CB with low initial credit rating is relatively valuable comparing to CB value in excess of strike price 100, which represents Intrinsic Value of call on CB. It indicates that holding a call on CB has opportunity to take advantage of equity but not take loss of bankruptcy. Another is that the setting of yield to put of CB will significantly influence the inclination toward holding CB or buying a call on CB for investors. A call on CB is relatively valuable when put price of CB is low. The other is that the equity features of call option will be more notable as the interest rate is higher. The value of a call on CB apparently increases as the risk-free interest rate increases while its Intrinsic Value decreases. Our simulation concludes that the CB call option will be mostly affected by (1) issuer credit (2) put price (3) interest rate level.

關鍵字(中)

★ 資產交換
★ 選擇權評價
★ 可轉換公司債
★ 可轉債選擇權
★ 信用風險

關鍵字(英)

★ Asset Swap
★ Call option
★ Convertible Bond
★ Credit Risk
★ CB option
★ Option Valuation

論文目次

Table of Contents
1. Introduction 1
2. CB Asset Swap Transaction Structure 2
2.1 Introduction to Convertible Bond and CB Asset Swap 2
2.2 Contract Description 2
2.3 Concept of Convertible Bond Asset Swap Transaction 5
2.4 The Structure of CB Asset Swap Business 6
2.5 Scenario Analysis 7
3. Literature Review 10
3.1 Analytical Models 10
3.2 Numerical Models 11
3.3 Credit Risk Model 11
4. Call Option Stripping Pricing Model 16
4.1 Assumptions 16
4.2 Example 17
4.3 Simulation Results 25
5. Sensitivity Analysis 27
5.1 Effect of the volatility of stock price 27
5.2 Effect of volatility of Interest Rate 28
5.3 Effect of initial stock price 29
5.4 Effect of initial risk-free interest rate 30
5.5 Effect of correlation coefficient 32
5.6 Effect of CB put price 33
5.6 Effect of initial credit rating 34
Conclusion 36
Reference 38
Appendix 40

參考文獻

1. Merton, R. C. (1974): “On the Pricing of Corporate Debt: The Risk Structure of Interest Rate,” Journal of Finance, Vol. 2(2), 449-470.
2. Brennan, M. J., and E. S. Schwartz (1977): “Convertible bonds: Valuation and optimal strategies for call and conversion,” Jounal of Finance, Vol.32, 351-367.
3. Brennan, M. J., and E. S. Schwartz (1980): “Analyzing convertible bonds,” Journal of Finance and Quantitative Analysis, Vol.15, 907-929.
4. Cox, J. C., J. E. Ingresoll, and S.A. Ross (1985): “A Theory of the Term Structure of Interest Rates”, Econometrica, Vol. 36(7), 385-407.
5. Jarrow, R. A., and S. M. Turnbull (1995): “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, Vol. 50(1), 53-85.
6. Jarrow, R. A., D. Lando, and S. M. Turnbull (1997): “A Markov Model for the Term Structure of Credit Risk Spreads,” Review of Financial Studies, Vol. 10(2), 481-523.
7. Longstaff, F. A.,and E.S. Schwartz (1995): “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,” Journal of Finance, Vol. 50(3), 789-819.
8. Longstaff, F. A.,and E.S. Schwartz (2001): “Valuing American Options by Simulation: A Simple Least-Square Approach,” The Review of Financial Studies, Vol. 14(1),113-147.
9. John C. Hull, “Options, Futures, and Other Derivatives”, Fourth Edition, 1999.
10. “Callable Asset Swap Transaction-Convertible Bonds”, Deutsche Bank, September. 2000.
11. “Yageo Corp. Stripped Convertible Asset Swap -Indicative Terms and Conditions”, Deutsche Bank Group, June. 2001.
12. “CB/ECB Pricing and Business -Pricing Model Introduction and Asset Swap Business”, ChinaTrust Bank, 2001.
13. “Call Option on LCB- Indicative Terms and Conditions”, Citibank, July. 2001.
14. “Euro Convertible Bond Derivative Product Program”, ChinaTrust Bank, 2001.
15. 黃健榮、尹妍琇, ”資產交換選擇權”, 大華證券債券部, 2001年
16. “可轉換資產交換之定價”, 大華證券債券部, 2001年

指導教授

史綱(Gang Shyy)

審核日期

2002-4-30

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