考慮重設條款下的可轉債評價

The valuation of risky convertible bonds with reset clause

蕭葳葳(Wei-Wei Shiao)

指導教授 ： 姜一銘

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2011年)

摘要

可轉債因為賦予債券投資人能夠將債券轉換為一般股票的權利，因此結構上形同一般公司債加上買權的複合式有價證券。然而，隨著可轉債商品設計的複雜化，使得可轉債的評價更顯困難。觀察目前市場上發行的可轉債，投資人除了轉換的權力之外，還擁有將債券賣回發行公司的權力；此外，當股價跌破某個價位水準時，原始轉換價格也能夠向下調整。本文利用Ayache, Forsyth and Vetzal (2003) 的模型，並加入AFV 未考量的重設條款，使用台灣2005到2010年的可轉債資料驗證發現考慮重設條款後的原來模型誤差減少19%，模型價格與市場價格靠近的樣本數顯著增加。

關鍵字

可轉換公司債 ； 重設條款 ； AFV模型 ； 有限差分法 ； 違約風險

並列摘要

Convertible bond is difficult to value since it is a hybrid financing instrument. The concept commonly accepted is that the convertible bond can be divided into pure bond and call option. However, it makes the pricing of convertible bonds become complicated for more and more additional provisions embedded in the bonds. In the background, numerous methods are developed for finding the most accurate pricing model of convertible bonds. With the default risk concern, Ayache, Forsyth and Vetzal (2003) propose a model where the stock price of the bond issue firm drops at a specified percentage and obtain a total risk hedge result. Nowadays, most convertible bonds have reset clauses. For reacting to the reality, this thesis tries to put reset clause into consideration under AFV model. From the empirical study, the reset model improves the deviation of AFV model about 19%.

並列關鍵字

default risk ； Convertible bonds ； reset clause ； AFV model ； finite difference method

參考文獻

1.Ayache, E., P.A. Forsyth, and K.R. Vetzal, 2003, “The valuation of convertible bonds with credit risk”, The Journal of Derivatives 11, 9-30.

2.Black, F. and M. Scholes, 1973, “The pricing of options and corporate liabilities”, Journal of Political Economy 81, 637-654.

3.Brennan, M.J. and E.S. Schwartz, 1977, “Convertible bonds: valuation and optimal strategies for call and conversion”, The Journal of Finance 32, 1699-1715.

5.Cheng, W. Y., and S. Zhang, 2000, “The analytics of reset options”, Journal of Derivatives, Fall, 59-71.

7.Dilip Madan and Haluk Unal, 2000, “A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spread”, The Journal of Financial and Quantitative Analysis,Vol 35, No. 1, pp. 43-65.