- 期刊
具有隱含選擇權之海外可轉換公司債評價分析
Valuation of Euro-Convertible Bonds with Embedded Options
摘要
海外可轉換公司債為本國企業赴國外發行，並且兼具債券與股票雙重特性之混合證券。為了符合投資大眾的需求，加上金融工程與創新的快速發展，目前台灣企業發行的海外可轉債通常都附有：轉換、贖回、賣回、轉換價格重設等多項隱含選擇權與條款。由於這些隱含選擇權與條款皆可提前履約，而且某些條款與隱含選擇權是否被驅動，必須取決於樣的股價的歷史走勢，因此，評價海外可轉債，實際上為一個路徑相依之美式選擇權定價問題。此外，由於牽涉到兩國的貨幣，海外可轉債的價值與上述隱含選擇權是否被執行，也會受到匯率變化的影響。在此一複雜的條件之下，評價海外可轉換公司債可謂一項艱鉅的金融工程。為了建構一個符合實務的海外可轉債評價模型，本研究利用蒙地卡羅模擬法整合：股價、本國利率、國外利率、匯率、信用風險貼水等多個隨機變數，可以有效且正確地處理具有多因子及路徑相依之投給美式選擇權定價問題。本研究並利用隱含波動模擬法，可以大幅提升模型評價的可靠度。最後，本文以台灣企業所發行的海外可轉債進行實證分析，實證結果優越，不論是海外可轉債的發行者或投資人，皆可利用本研究的模型有效制訂海外可轉債的發行、投資、交易、與風險管理等相關決策。
並列摘要
A Euro-convertible bond (ECB), which is issued by a native company and sold overseas, is a hybrid security with both the features of equity and debt. It is extremely difficult to pricing an ECB due to its complexities, since most ECBs in Taiwan are issued with call options, put opt ions, and conversion price reset terms. Some of these embedded option s and terms have the path-dependent features. Moreover, an ECB holder is exposed to the currency risks, since the value of an ECB will change according to the variation of exchange rates. We apply a Monte Carlo simulation approach, which can accurately and efficiently value an ECB with the properties of multi-factor, stochastic interest rates, stochastic credit spreads, and several embedded options. An Implied Volatility simulation (IVS) approach was proposed in this study, which can significantly improve the pricing performance for ECBs. Finally, we test the reliabilities of our pricing model for Taiwan's ECBs. The empirical results were trustworthy, both the ECB investor and issuer can apply our model for making better issuance, financing, investment and risk management decisions on ECBs.