臺灣博碩士論文加值系統

近年來在選擇權市場上，路徑相依選擇權的發展相當快速，這類選擇權的主要特點在於，其報償結構與標的資產在選擇權存續期間中的價格路徑直接相關。重設選擇權屬於路徑相依選擇權之一，倘若在重設期間當中(或重設日當天)，該買權(賣權)的標的資產價格滿足重設條件，則此買權(賣權)的履約價可被重設至一個較低(較高)的價格。
在民國87年10月22日，大華證券股份有限公司發行了國內第一個美式重設型認購權證。由於重設型認購權證不僅在國內屬於新的衍生性金融商品，即使在其他國家亦是推出歷史尚短，迄今探討其特性與評價方法之相關文獻仍不多見。本研究以八種重設型認購權證作為分析對象，首先探討重設型認購權證的特性，並加以證明。然後以蒙地卡羅模擬法求算各類型重設型認購權證的價格，並分析不同重設條件對重設型認購權證價格的影響。最後，本研究進行實證分析，探討重設型認購權證模式價與市價的差異情形。研究目的分述如下：
1.重設型認購權證具有重設條件，當重設條件改變時，會影響重設型認購權證的價格。因此，本研究探討並證明重設型認購權證的各項特性，分析重設條件與重設型認購權證價格的關係。
2.重設型認購權證具有重設條件，且重設條件變化多端，使得其評價過程較為複雜與困難，至今尚難以導出封閉式解。由於蒙地卡羅模擬法適合用來處理較複雜之報償結構，故本研究使用蒙地卡羅模擬法來求解各類型重設型認購權證的價格。
3.為瞭解重設型認購權證模式價與市價之間的差異情形，在計算模式價格時，本研究分別以「上市前半年的股價報酬標準差」，以及「前60日移動平均標準差」來估計標的股價波動性。然後採用成對t檢定來檢測重設型認購權證模式價與市價之間的差異是否顯著。倘若有顯著差異存在，則進一步以迴歸分析找出造成差異的原因。
本文之研究結果歸納如下：
1. 對於單層重設價之重設型認購權證而言，存在一個最適的重設價格，使得重設型認購權證的價格為最大。
2. 對於設有特定重設日之重設型認購權證而言，在合理的利率水準之下，存在一個最適的重設日，使得重設型認購權證的價格為最高。
3. 對於設有重設期間之重設型認購權證而言，重設期間愈長，重設機率愈高，重設型認購權證的價格愈高。
4. 對於多層重設價之重設型認購權證而言，允許重設次數愈多，重設型認購權證的價格愈高。
5. 對於移動平均價重設型認購權證而言，均價日數愈長，重設機率愈低，重設型認購權證的價格愈低。
6. 對於設有重設價格下限的特定日連續價或單期連續價重設型認購權證而言，重設價格下限愈低，重設型認購權證的價格愈高。
7. 由模式價與市價的成對t檢定結果得知，重設型認購權證在重設期間內(或重設日之前)，其模式價與市價之間有顯著差異存在。
8. 由迴歸分析結果發現，價內比率的程度會影響重設型認購權證模式價與市價的差異情形，且較支持負向影響，亦即愈是價內(外)的重設型認購權證，其價格差異程度愈低(高)。
9. 從迴歸分析結果發現，距到期日期間對於重設型認購權證模式價與市價差異的影響方向並不一致，但以負向居多，亦即較為支持距到期日愈遠(近)，價格差異情形愈小(大)。

Path-dependent options have become increasingly popular in recent years. A path-dependent option has a payoff directly related to movements in the price of the underlying asset during the option’s life. Reset options are one type of path-dependent options. If the reset option satisfies some reset conditions during the reset period, its strike price may be reset to a lower strike in the case of a call or a higher strike in the case of a put.
In Taiwan, the first American-style reset warrant was issued by Grand Cathay Securities Co., Ltd. on 22 October 1998. The reset warrant is a new derivative security in Taiwan. It is also a new financial product for other countries. So the related literature is rare. This paper focuses on valuing eight kinds of reset warrants. First, some important properties of reset warrants are investigated and proven. Secondly, the Monte Carlo simulation method is used to calculate the prices and the reset probabilities for each kind of reset warrants under different reset conditions. Finally, this paper attempts to empirically examine the price differences between model prices and market prices of reset warrants. The purposes of this paper are summarized as follows:
1. As the reset condition changes, the price of the reset warrant and the reset probability also change. This paper investigates and proves the properties of reset warrants. The relationship between reset conditions and the price of reset warrants are examined.
2. Because of the diversity of reset conditions, the valuing process of reset warrants is very complicated and difficult. A closed-form solution might not be easy to obtain. The Monte Carlo simulation is very convenient and flexible for valuing path-dependent options. Thus, this paper uses the Monte Carlo simulation method to calculate the prices for each kind of reset warrants.
3. This paper uses “the standard deviation of stock returns in the last half-year before listed date” and “the sixty-days moving-average standard deviation” to measure stock volatility. Then, it adopts paired t test to investigate the price differences between model prices and market prices of reset warrants. If there exists significant price differences between model prices and market prices, regression analysis is further performed to identify the factors affecting the price differences.
The findings of this paper can be summarized as follows:
1. There exists an optimal reset strike price, such that the price of the warrant with a single specific reset price is at its maximum.
2. There exists an optimal reset date, such that the price of the warrant with a single specific reset date is at its maximum under reasonable interest rate.
3. As the reset period becomes longer, the price of the reset warrant and the reset probability increase.
4. If the number of times allowed for resetting increases, the price of the reset warrant increases.
5. As the number of days for calculating the moving-average price increases, the price of the reset warrant and the reset probability decrease.
6. As the lower limit of reset price decreases, the price of the warrant with a lower limit of reset strike price increases.
7. There is a strong evidence to support that model prices and market prices of reset warrants are different.
8. The price differences between model prices and market prices of reset warrants are influenced by the depth of in-the-money. For most sample warrants, the depth of in-the-money has a negative impact on price differences. That is, the price differences between model prices and market prices are smaller (larger) for reset warrants with deeper in-the-money (out-of-the money).
9. The price differences between model prices and market prices of reset warrants are influenced by the time to expiration. Some have positive effect but some have negative effect. For most sample warrants, the time to maturity has a negative effect on price differences. That is, as the time to maturity increases (decreases), the price differences between model prices and market prices decrease (increase).

封面
第一章 緒論
第一節 研究動機
第二節 研究目的
第三節 研究架構
第二章 文獻探討
第一節 標準型認購權證的評價方法
第二節 重設型認購權證評價的相關文獻
第三節 認購權證模式價與市價比較的相關文獻
第三章 重設型認購證的種類、特性與評價方法
第一節 重設型認購證的種類
第二節 重設型認購權證的特性
第三節 以蒙地卡羅模擬法評價重設型認購權
附錄A 特性十之數學證明
附錄B 特性十一之數學證明
附錄C 以蒙地卡羅模擬法評價移動平均價單期多價重設型認購權證之程式範例
第四章 重設型認購權證的評價
第一節 日收盤價特定日單價重設型認購權證的評價
第二節 特定日連續價重設型認購權證的評價
第三節 單期單價與單期多價重設型認購權證的評價
第四節 移動平均價單期連續價重設型認購權證的平均
第五章 重設型認購權證模式價與市場的比較
第一節 樣本選取與資料來源
第二節 重設型認購權證模式價與市價差異的檢定
第三節 重設型認購權證模式與市價差異的回歸分析
第六章 結論與建議
第一節 研究結論
第二節 研究建議
參考文獻

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