資訊不對稱與融資契約設計之研究--重設選擇權之應用
Other Title
Financing Contract under Information Asymmetry:
An Application of Resettable Conver tible Bond
An Application of Resettable Conver tible Bond
Date Issued
2001
Date
2001
Author(s)
DOI
892416H002069
Abstract
We first discuss the problem of information asymmetry between money demanders and
capital lenders, which may cause the stagnation of fund raising activities. With a financing
contract that changes the conversion ratio according to the performance of the borrower the
lemon delimma can be solved. The financing contract can be applied to the fund raising
between venture capitals and start-up firms as well as between banks and SMEs. This
contract will help the borrowers to raise fund at fair price and at the same time capital
lenders are relieved of possible losses resulted from adverse selection.
We also develop a pricing model for the financing contract by integrating the CB
pricing model of trinomial tree structure with an algorithm on reset option. Default risk is
also taken into account. For the private companies without public stock prices, we employ
EPS and P/E ratio to estimate the conversion value. The pricing model enjoys stable
convergence and computational efficiency.
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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