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    Title: 附認股權證債券定價之研究
    The Pricing of Bond With Warrants
    Authors: 王駿東
    Wang, Chun Tung
    Contributors: 陳隆麒
    楊子江

    Chen, Long Chie
    Yang, Tsi King River

    王駿東
    Wang, Chun Tung
    Keywords: 認股權證
    附認股權證債券
    債券
    選擇權
    買進選擇權
    股票
    Warrant
    Bond With Warrants
    Bond
    Option
    Call
    Stock
    Date: 1994
    1993
    Issue Date: 2016-04-29 15:14:08 (UTC+8)
    Abstract: 近年來,台灣在經濟結構的巨幅轉型下,已喪失了原有比較優認股權證具
    Reference: 1.山一證券株式會社,「歐洲美元計價Warrant投資的魅力」,1990 年5月。
    2.大和證券株式會社,「日本附認股權證公司債簡介」,1993年5月。
    3.李存修,「認股權證之性質、評價模式與發行計劃」,證券管理第七卷,第十一期,民國78年11月。
    4.吳美蘭,「附認股權公司債之研究」,國立台灣大學商學研究所未出版碩士論文,民國79年6月。
    5.杜惠娟,「認識認股權證」,證券市場發展季刊,民國80年1月。
    6.林淑玲,「附認股權證公司債評價模式之比較」,國立中山大學企業管理研究所碩士論文,民國80年6月。
    7.陳隆麒,「現代財務管理-理論與應用」,華泰書局,民國81年2月初版。
    8.陳樹,「轉換公司債之理論與實務」,實用稅務出版社,民國75年月。
    9.野村證券株式會社、國際金融部,「歐洲附認股權證公司債」,1990年1月。
    10.曾文洽,「認股權證在國內資本市場發展之探討」,證交資料月刊第361期,民國81年5 月。
    11.張安華,「新金融商品-認股權證」,產業金融,民國80年,第69期。
    12.臺灣證券交易所編印,「認股權證之發行交易實務與可行性研究」,民國79年7月。
    13.劉維琪、林淑玲,「附認股權公司債評價模式之個案研討」,管理評論,民國81年11月。
    14.嚴維群,「認股權證與存託憑證」,會計月刊第七十四期,民國80年11月。

    1. Beckers, S., “The Constant Elasticity of Variance Model and Its Implications for Option Pricing”, Journal of Finance, June 1980, pp.671-673。
    2. Eckers, S., “Transaction Data Tests on the Efficiency of the Chicago Board of Options Exchange”, Journal of Financial Economics, August 1983, pp.161-185。
    3. Black F. and Scholes, M., “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, Vol.81,1973,pp.637-654。
    4. Constantinides, G., “Warrant Exercise and Bond Conver-sion in Competitive Markets”, Journal of Financial Eco-nomics 13,1984,pp.371-398。
    5. Cox, J.C., and Ross, S.A., “The Valuation of Options for Alternative Stochastic Processes”, Journal of Financial Economics 3, 1976, pp. 145-166。
    6. Cox, J.C., and Rubinstein, M., “Option Pricing: A Simplified Approach”, Journal of Financial Economics, September 1979,pp.269-273.
    7. Friedman, Avner, “Stochastic Differental Equations and Applications”, Probability and Mathematical Statistics Series, Vol.1, 1975,pp.36。
    8. Galai, D., “Tests of Market Efficiency of the Chicago Board of Option Exchange”, Journal of Business, April 1977,pp.167-197.
    9. Galai, D., and Masulis, R., “The Option Pricing Model and the Risk Factor of Stock”, Journal of Financial Eco-nomics, January-march 1976,pp.53-82.
    10. Galai, ., and Schneller, M., “Pricing Warrants and the Value of the Firm”, Journal of Finance 33, December 1978, pp.1339-1342.
    11. Geske, R., “The Valuation of Corporate Liabilities as Compound Options”, Journal of Financial and Quantitative Analysis, November 1977,pp.541-552.
    12. Geske, R., “A Note on an Analytical Valuation Formula for unprotected American Call Options on Stocks with Known Dividends”, Journal of Financial Economics, December 1979a, pp.375-380.
    13. Green. R.C., “Investment Incentives, Debt, and Warrants”, Journal of Financial Economics 13,1984,pp.115-136.
    14. Latane, H., Rendleman, Jr., R. J., “Standard Deviations of StockPrice Ratios Implied in Option Prices”, Journal of Finance, May 1976, pp.369-382.
    15. Lauterbach, Beni and Scheller, Paul, “Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives”, Journal of Finance, September 1990, pp.1181-1208。
    16. MacBeth, J., and Merville, L., “An Empirical Examination of and Cox Call Option Valuation Models”, Journal of Finance, May 1980, pp.285-300。
    17. MacBeth, J., and Merville,L., “Tests of the Black-Scholes and Cox Call Option Valuation Models”, Journal of Fi-Nance,May 1980,pp.185-300.
    18. Merton, R.C., “The relationship between put and call option prices: Comment”, Journal of Finance 28,1973,pp.183-184。
    19. Noreen E., and Wolfson, M., “Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options”, Journal of Accounting Research 19, Autumn 1981, pp.384-398.
    20. Parkinson, M., “Option Pricing:The American Put”, Journal of Business, January 1977,pp.21-36.
    21. Roll, R., “An Analytical Valuation Formula for Unpro-tected American Call Options on Stocks with Known Dividends”, Journal of Financial Economics, November 1977, pp.251-258.
    22. Rubinstein, M., “Displaced Diffusion Option Pricing”, Journal of Finance, March 1983, pp.213-265.
    23. Rubinstein, M., “Nonparametric Tests of Alternative Option Pricing Models”, Journal of Finance, june 1985, pp.455-480.
    24. Spatt, C.S. and Sterbenz, F.P., “Warrant Exercise, Dividends, and Reinvestment Policy”, Journal of Finance 43, June 1988, pp.493-506.
    Description: 碩士
    國立政治大學
    企業管理學系
    798523
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002003620
    Data Type: thesis
    Appears in Collections:[Department of Business Administation ] Theses

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