本篇論文重點在於使用一個可以同時描述股價、無風險利率及風險性折現率隨機過程的評價樹來評價可轉換公司債，且為了使模型更合乎現實，將股價和利率之相關性以及賣回條款加入模型中考慮，期望所得到的理論價格能和市場價格一致。此外，本研究亦將比較在不同的評價模型設定下所獲得之理論價格的差異。實證結果顯示，當以二項樹之可轉換公司債評價模型來評價時，本研究樣本在三種不同信用價差下之理論價格皆明顯高於市價，隱含此評價模型有高估的傾向。而用相關性去除後之可轉換公司債評價模型與本研究之可轉換公司債評價模型來評價時，則可發現大約有一半研究樣本的理論價格跟市場上發行價格相差不遠，且這兩個評價模型似乎沒有高估或低估的傾向。

We use a tree which describes stochastic process of the stock price, the risk-free rate, and the risky discount rate simultaneously to evaluate convertible bonds. To be more realistic, we add the relationship between the stock price and interest rate and put provisions to the model to make the price obtained form our model consistent with the market price. In addition, we compare the difference of the price generated form different approach. The result shows that when using a binomial tree to evaluate the convertible bonds, we argue that the price generated form three kinds of credit spreads are all significantly higher than the market price and this approach tends to overvalue the price of convertible bond. As applying the model eliminating the relationship between the stock price and the interest rate and our approach to evaluate the price of the convertible bond, it’s evident that the approximately half the theoretical prices is nearly close to the market price and these two approaches seems to correctly estimate the price of the convertible bond.

一、中文部分
丁碧慧，可轉換公司債之定價－台灣地區之實證研究，國立交通大學管理科學研究所未出版碩士論文，民國八十年。
李學詩，以有限差分法評估可轉換公司債的價值，國立中山大學財務管理研究所未出版碩士論文，民國八十五年。
林忠義，可轉換公司債定價與分析，國立中山大學財務管理研究所未出版碩士論文，民國八十八年。
林祖豪，可轉換公司債之定價與錯價探討，國立中正大學統計學研究所未出版碩士論文，民國八十六年。
郭柏宏，可轉換公司債定價－附加重設條款的三元樹狀模型，國立中正大學財務金融研究所未出版碩士論文，民國八十七年。
陳士暐，可轉換公司債評價之研究，國立中央大學財務管理研究所未出版碩士論文，民國八十四年。
陳貴瓏，或有請求權數值分析模式之研究－國內可轉換公司評價之實證，國立台灣大學商學研究所未出版碩士論文，民國八十一年。
曾恩琦，可轉換公司價之評價－考慮破產可能模型，私立東吳大學國際貿易研究所未出版碩士論文，民國八十八年。
鄭鴻柏，可轉換公司債之二項機率評價模型，國立中興大學統計研究所未出版碩士論文，民國八十六年。
蔡一君，以或有權分析法評價可轉換公司債－台灣地區實證研究，國立中山大學企業管理研究所未出版碩士論文，民國八十一年。
二、英文部分
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