20.500.12556/RUL-103010 Zamenljive obveznice delo diplomskega seminarja Convertible bonds Namen dela diplomskega seminarja je predstavitev zamenljivih obveznic in izpeljava modela za njihovo vrednotenje. V delu je predstavljen model za vrednotenje zamenljivih obveznic, ki temelji na vrednotenju opcij. Procesa obrestnih mer in cene delnice sta med glavnimi dejavniki, ki vplivajo na vrednost zamenljive obveznice. Zato je za vrednotenje zamenljive obveznice zelo pomembna ustrezna izpeljava binomskih dreves za obrestne mere in za ceno delnice. Za modeliranje obrestnih mer je uporabljen diskreten Ho-Leejev model, v katerem smo predpostavili, da je volatilnost obrestnih mer konstantna skozi čas. Za modeliranje cene delnice je uporabljen Cox-Ross-Rubensteinov model. Vrednost zamenljive obveznice dobimo z združitvijo modela za izračun obrestnih mer in modela za gibanje cene delnice, ob predpostavki da se obrestne mere in cene delnice gibljejo neodvisno. Po določitvi procesov cene delnice in obrestnih mer lahko vrednost zamenljive obveznice dobimo s povratno indukcijo. Z upoštevanjem pričakovane vrednosti zamenljive obveznice v vsakem vozlišču, vrednosti zamenjave, možnosti odpoklica in prinosa dobimo enačbo za izračun vrednosti zamenljive obveznice. Delo zaključimo z numeričnimi zgledi. The purpose of this thesis is to present convertible bonds and to derive a model for their valuation. The thesis presents a model for the valuation of convertible bonds, based on the valuation of options. As the underlying stock prices and interest rates are among the main factors affecting the value of convertible bonds, we describe their dynamic processes using different binary trees. For the interest rate, we use the discrete version of the Ho-Lee model with an additional assumption that the volatility of interest rates is constant over time. For the stock price, we use the Cox-Ross-Rubenstein model. The value of the convertible bond is obtained by combining the model for interest rates and the model for the stock price, using the assumption that the interest rates and stock prices move independently. After specifying the parameters of the processes of the stock price and interest rate, the value of the convertible bond can be determined by backward induction. Taking into account the expected value of the convertible bond in each node, the value of the exchange, and the possibility of early termination in case of callable and puttable bonds, we obtain the equation for calculating the value of the convertible bond. We conclude the thesis with numerical demonstrations. Zamenljive obveznice opcije obrestne mere Ho-Leejev model Cox-Ross-Rubensteinov model Convertible bonds options interest rates Ho-Lee model Cox-Ross-Rubenstein model true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2018-09-13 07:46:06 2018-09-13 07:46:07 2022-08-16 03:39:27 0000-00-00 00:00:00 2018 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 90023 18433369 343.pdf 343.pdf 1 F51B2A476E87CA1D0E18660B87ED2D0D 90dffc614a97973d124647647479d8141aeac351ba8f4139e14b7533bc557d63 afc4ee76-a1b5-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=113394 Fakulteta za matematiko in fiziko 0 0 0