| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 100 === This thesis prices convertible bonds (CB) with a “game-theory-based” tree model. Not only the tax benefits and the bankruptcy costs are taken into account to analyze the issuer’s capital structure, but the different types of holding scenarios and call strategies are taken into account. By releasing the block conversion constraint, we find that when the issuer’s value went high, the “sequential conversion” phenomenon can be observed both under the monopoly scenario (i.e., CB are held by one player.) and the competitive scenario (i.e., CB are held by many players and each player is a price taker.). On the other hand, when the issuer were in financial distress, the debt-to-equity conversion only appeared in monopoly scenario. These observations enrich our analysis on the capital structure and the issuer’s levered value for issuing CB. Besides, CB might “matured” early if they are converted .Or called back by issuers. Thus we use the dynamic programming method to estimate the expected maturity of CB. We find that the expected maturity is longer under the “equity maximizing” call policy than that under the “CB minimizing” strategy. This provides an alternative explanation that why the CB are called late.
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