本研究擬分析券商對可轉換公司債資產交換選擇權定價過程與理論價格之關聯性,藉此探討實務上券商在定價時所加以考慮之因素對實際成交價格之影響。研究採用Rubinstein(1990)以Black-Scholes Model為基礎發展出之遠期起算選擇權公式計算資產交換選擇權端價格;而後運用成對t檢定評估理論價格與實際成交價格之相關性。 實證結果發現,以遠期起算選擇權公式計算之理論價格與市場實際成交價格相關性並不顯著。為進一步了解定價實務上所加以考慮之因素為何,後以訪談法調查業界相關人士之看法,訪談後之結論顯示難以模型量化計算之因素如證券商買進可轉換公司債之成本、拆解出可轉換公司債資產交換固定端對手之信用風險等較一般在模型中可考慮之因子如股價、利率、信用風險貼水等影響更鉅。
This paper investigates the association of securities companies pricing process to convertible bond asset swap option and theoretical price in order to investigate the factors of which pricing process in practical and the impacts of the transaction price. The article adopts the method of the “forward-start options model” which is developed by Rubinstein based on the “Black-Scholes Model” to calculate the price of asset swap option in 1990. In advanced, the paper uses the “paired t-test” to appraise the correlation between theoretical and transaction price. In the results, the correlation of theoretical and transaction price is not significant in the forward-start options model. In order to realize the considered factors in practical pricing by market users, I interviewed some securities traders. In common opinion of them, I summarize a conclusion that is the influence in the factors which are difficult to be calculated in quantified method, such as securities company to buy convertible bonds of the cost and the dismantling of the credit risk of convertible bond asset swap counterparty…etc., is more vital than in the considerable factors which we generally used in models, such as stock price, interest rate, credit risk premium…etc.