臺灣博碩士論文加值系統

論文名稱： 從避險成本探討認購權證避險策略 頁數：81
校系（所）組別： 淡江大學 財務金融學系 金融碩士班B組
畢業時間及摘要別： 八十九學年度 第二學期 碩士學位論文摘要
研究生： 黃孟慧 指導教授：謝文良 博士
論文摘要：
認購權證賦予投資人在特定期間以執行價格購入標的股票的權利。認購權證發行機構為規避權證履約風險，必須持有現貨部位進行避險。理論上，Black 與Scholes（1973）所提出的「連續避險」概念能完全規避認購權證的價格變動風險，使權證部位持續呈現無風險狀態，且無避險成本。然而，實務上「連續避險」策略有執行上的困難，須負擔龐大的交易成本。後續研究提出「間斷避險」策略，限制了複製策略的交易成本，當合理的調整頻率下，避險誤差相對微小。
由於權證發行券商在實務操作上無法採用「連續避險」，本研究以Monte Carlo simulation模擬各種不同的股價走勢，並以固定時間間斷delta避險為基礎，假定每日調整避險部位，將券商每日進行避險部位操作所發生的總現金流出量定義為認購權證的避險成本，目的在於尋找六十三種股價型態下的七種策略中較能降低避險成本的避險策略，並探討股價報酬平均數、標準差與交易成本三因子對避險成本與避險策略的影響。研究結果可分為以下三點：一、交易成本會影響最適避險策略的選擇，故計算避險成本時有必要引入交易成本，以正確模擬避險績效。而且「避險帶避險策略」隨股價報酬波動度越大、股價報酬率越偏離零，避險績效越佳。二、當相同的股價波動率下，總避險成本隨股價報酬率的增加而降低，避險績效越佳。且交易成本的考量會改變避險策略的選擇與報酬率的分界點。三、股價波動率變動對避險成本的影響以報酬率0為分界，且Delta neutral避險策略與Leland hedge策略之避險成本，隨著股價波動率的增加而上漲。綜合上述結論，希望以此研究結果作為券商避險時的參考依據，以降低實務操作的避險成本 。

Title of Thesis: The Research on Hedging Total Pages:81
Strategies of Warrants from Hedging Costs
Name of Institute: Tamkang University ,Graduate Institute
of Money, Banking and Finance
Graduate Date : June,2001 DegreeConferred:Master
Name of Student:Meng-Huei Huang
Advisor：Dr. Wen-Liang Hsieh
ABSTRACT
Warrant gives investors the privilege of buying underlying assets at exercise price in special period. The issuing institution of warrants have to hold underlying assets for escaping the exercise risk of warrants. Theoretically, Black and Scholes（1973）concludes that continuous rebalancing can completely escape the price change risk of warrants without hedging costs. However, continuous rebalancing has difficulty in exercising and would be ruinously expensive with more frequent revision when transaction costs are included.
The paper used a discrete-time framework and daily delta hedge basis. The approach is to find the strategy of seven which can reduce more hedge costs under sixty three stock price patterns, and to probe into the effect that mean and standard deviation of stock return and transaction costs to the hedge costs and hedge strategies. This paper shows that, first, transaction costs will change the choice of the best hedge strategy, so it has to include the transaction costs when simulate hedging performance. Second, total hedge costs will diminish with raise of stock return rate under the same standard deviation of stock return. Third, the influence of change of standard deviation on hedge costs has a boundary of zero return rate .The hedge costs of Delta neutral hedge strategy and Leland hedge strategy will raise with the growth of standard deviation of stock return. The issuing institution of warrants can regard those conclusions as basis of hedging warrants, and hope to improve the performance of hedging in reality.

目錄
第一章緒論…………………………………………………………….1
第一節 研究動機與背景……………………………...…………………..1
第二節 研究目的………………………………………...………………..3
第三節 研究架構…………………………………………...……………..4
第二章文獻回顧……………………………………………………….6
第一節 認購權證之評價模式.……………………………..…………..…6
第二節 連續與間斷避險問題……..………………………..………….…8
第三節 交易成本問題……………..………………………..………….…9
第四節 認購權證避險策略..………………………………..…………...12
第三章研究方法………………………………………………………17
第一節 蒙地卡羅模擬法…………………………………………….…..17
第二節 避險成本之定義………………………………………..……….20
第三節 避險策略之介紹…………………………………..…………….22
第四節 研究方法分析……………………………………..…………….30
第四章避險策略之模擬績效分析……………………………………36
第一節 避險策略分析………………………………………..………….36
第二節 股價報酬率的變動對避險成本的影響…………………….…..55
第三節 股價波動率的變動對避險成本的影響…………………….…..65
第五章結論……………………………………………………………78

參考文獻
吳秉寰（1999），「認購權證最適避險策略之研究」，國立政治大學碩士論文
林志源（1999），「認購權證最適化避險策略實證研究」，私立淡江大學博士論文
劉志彬（1999），「含交易成本下之台灣認購權證的定價與避險」，私立淡江大學碩士論文
劉弼尹（1997），「台灣認購權證評價與避險操作之研究」，國立臺灣大學碩士論文
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