Μετατρέψιμα ομόλογα και μέθοδοι αποτίμησης
KeywordsΜετατρέψιμα ομόλογα ; Ανακαλέσιμα μετατρέψιμα ομόλογα ; Τριωνυμικό υπόδειγμα του Hull ; Μοντέλο Ingersoll ; Εμπειρικές μελέτες ; Εκτίμηση παραμέτρων ; Προβλεπτική ικανότητα ; Convertible bonds ; Callable convertible bonds ; Hull's Trinomial model ; Ingersoll's valuation model ; Empirical study ; Parameter valuation ; Forecasting power
The aim of this thesis is to introduce us to the world of convertible bonds and their valuation methods. Convertible bonds are bonds which are issued by a company offering their holder the right to exchange the bond with a predetermined number of shares. In the last twenty years, the volume of issuance of convertible bonds increased significantly, so as their valuation attempts. However, the hybrid nature of convertible bonds made the latter task quite complicated. Firstly a historical review of the valuation of convertible bonds is presented. Secondly, a discrete-time model of convertible bond pricing, Hull’s trinomial model and afterwards the continuous time Ingersoll term structure model are described. An empirical study is also conducted with the assistance of the programming language MatLab for the trinomial model. After evaluating the parameters of the model by using the iterative algorithm of Levenberg-Marquardt and examining the forecasting power of the model, we conclude that this is a reliable model to evaluate convertible bonds. Finally, a numerical analysis is being conducted to examine the dependency of the price of convertible bonds from the evaluated parameters.