The Pricing Factors of Convertible Bond Asset Swap Options

• Main Authors: Chi-Chun Hou, 侯季淳
• Other Authors: 邱建良
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/88062602258714788903

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 102 === 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.