Intuitional and Quantitative Methods in DELTA Arbitrage for Convertible Bond
碩士 === 國立中興大學 === 財務金融學系所 === 104 === This study use convertible bond delta arbitrage strategy with new measure to replace delta ratio and adding an appropriate arbitrage timing, in the period of 2010 to 2015 all convertible bonds and its own company’s stock as pairs of samples, and use intuitional...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/50620171962712787642 |