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수치해석 기법을 이용한 국내 전환사채의 유통시장 분석

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Alternative Title
Analysis of Convertible Bond Market Using Numerical Methods
Abstract
전환사채는 주식으로 전환할 수 있는 권리를 갖는 채권으로 채권의 안정성과 주식의 수익성을 겸비한 증권이다. 본 연구에서는 전환사채에 대한 유통시장의 문제점을 검토하기 위하여 McConnell과 Schwartz의 모형 (1986)을 기반으로 국내 전환사채의 가치를 평가할 수 있는 모형을 개발하고 C언어를 이용하여 그 알고리즘을 구현하였다. 또한 이 모형을 이용하여 국내 유통시장에서 거래된 전환사채들의 가치를 평가하고 유통시장의 특성을 분석하였다.
The convertible bond is a hybrid security which, while retaining most of the characteristics of straight bond, offers, in addition, the upside potential associated with the underlying common stock. This paper extends the work of McConnell and Schwartz (1986) to the pricing of convertible bonds. The differential equation and boundary conditions governing the value of the bond are derived, and an algorithm is presented for solving the differential equation. Also, this paper analyzes the convertible bond market using the valuation model.
The convertible bond is a hybrid security which, while retaining most of the characteristics of straight bond, offers, in addition, the upside potential associated with the underlying common stock. This paper extends the work of McConnell and Schwartz (1986) to the pricing of convertible bonds. The differential equation and boundary conditions governing the value of the bond are derived, and an algorithm is presented for solving the differential equation. Also, this paper analyzes the convertible bond market using the valuation model.
Author(s)
조희연
Issued Date
1998
Type
Research Laboratory
URI
https://oak.ulsan.ac.kr/handle/2021.oak/3625
http://ulsan.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000002024360
Alternative Author(s)
Cho, He-Youn
Publisher
경영학연구논문집
Language
kor
Rights
울산대학교 저작물은 저작권에 의해 보호받습니다.
Citation Volume
5
Citation Number
1
Citation Start Page
17
Citation End Page
32
Appears in Collections:
Research Laboratory > Journal of management
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