能否請教一個財工的問題 關於CB評價 - 金融分析師

By Lauren
at 2010-02-25T12:07
at 2010-02-25T12:07
Table of Contents
最近公司請外部機構去做評價一檔CB,評價的結果和我評的類似,但對方在評
價後又說因為該市場之流動性不足,因此要扣掉一些風險貼水.我就問他說這個
風險貼水怎麼來的,對方說是一個價平的賣權價格.
代數字來說就是:
今天CB評出來價格是130 其中轉換選擇權的價值是40
接著用B-S模型 算出P(S=40,K=40) 到期日、利率、波動性、殖利率等參數都
與CB評價之參數相同
算出來這個賣權的價格是10
因此扣除這個貼水的價格後的CB價值是120
但我怎麼看都覺得這樣的調法太Over了(其實是調太多不敢面對客戶 囧)
因為整個Put的時間價值都被扣掉了,這樣是假設這個CB到期才能轉換嗎
小妹不才,還請各位財工高手出手相救
最近狂暴肝有點語焉不詳 還請各位見諒
--
價後又說因為該市場之流動性不足,因此要扣掉一些風險貼水.我就問他說這個
風險貼水怎麼來的,對方說是一個價平的賣權價格.
代數字來說就是:
今天CB評出來價格是130 其中轉換選擇權的價值是40
接著用B-S模型 算出P(S=40,K=40) 到期日、利率、波動性、殖利率等參數都
與CB評價之參數相同
算出來這個賣權的價格是10
因此扣除這個貼水的價格後的CB價值是120
但我怎麼看都覺得這樣的調法太Over了(其實是調太多不敢面對客戶 囧)
因為整個Put的時間價值都被扣掉了,這樣是假設這個CB到期才能轉換嗎
小妹不才,還請各位財工高手出手相救
最近狂暴肝有點語焉不詳 還請各位見諒
--
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