| Summary: | 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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