| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 88 === THESIS ABSTRACT
GRADUATE INSTITUTE OF INTERNATIONAL BUSINESS
, NATIONAL TAIWAN UNIVERSITY
NAME： Chia-fue ,Chang March ,2000
Adviser：Dr.Mao-Wei ,Hung
The Empirical Study of Pricing Model for Convertible Bonds
－ Two Dimensional Tree Model
This study tries to build a two-variable model called “ Two
Dimensional Model ” to evaluate 63 convertible bonds which were
traded in Taiwan Security Exchange through March,2000 .We
assume the distributions of both the return rates of the common
stock and the interest rate are lognormal.
We used the models provided by Cox,Ross & Rubinstein（CRR
Model）and Rendleman & Bartter in 1980 to build and recombine
the pricing model for convertible bonds.
The results showed that almost all the model prices which
we evaluated were overestimated and higher than the market
price.What’s more,according to the sensitivity analysis
to the parameters which we estimated,we found that the standard
error of the stock return rate was the most important parameter to
affect the model price.
The probable reasons of the overestimation are as follows：
First,the estimated parameters or the assumptions of the pricing
model are not correct.Second,the market of the convertible bonds
is not a perfectly efficient market.Third,the study ignored the
influence of the bankruptcy risk and this maybe one of the factors
we should consider next study.
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