臺灣博碩士論文加值系統

可轉換債券雖為債券，然兼具權益與債券的性質，對發行公司及投資人均具吸引力。本文引用債券評價模式，以及Black-Sonoles選擇權評價模式，實例演算國內可轉換債券上市資料。所得結果顯示，市價較理論價值大約低了一至二成左右，此一明顯差距無法以誤差等原因來加以解釋。究其原因，除了過去文獻所提出外，本文發現債券換股權利證書其性質與期貨甚為接近，卻以現貨的交易方式在市場上買賣，缺乏投機者的參與導致不熱絡的交易，使得權利證書乃至於可轉換債券的成交價格較具合理價位偏低。

Convertible bond (CB) is defined as a combination of equity and debt. In addition to the purpose of raising funds, CB is also attractive to investors. In this paper, bond valuation model and Black-Scholes option pricing model are used to calculate the data of convertible bonds listed in Taiwan Securities Exchange (TSE). The results show that the theoretical value is significantly overvaluated for 10 to 20 percent. Thought many mathematical techniques and explanations can be found in literature for this problem, we provide a new idea to justify this pricing anomaly. Claim testimony in some extent is found similar to futures which can be used to explain this OPM pricing anomaly in CB. A quasifutures, claim testimony, in a spot market results in low trading volume.