臺灣博碩士論文加值系統

本研究以三種評價模式(即Black-Scholes模式、修正後Black-Scholes模式及半參數定價模式)搭配二種波動性估計值(即歷史波動性及等權加權平均隱含波動性)，來評估台灣認購權證之價格，並探討影響市價偏離理論價格之因素。半參數定價模型是利用無母數迴歸分析中的局部線性核心迴歸(local linear kernel regression; LLKR)模式化B&S模型的模式誤差，並與B&S理論價格結合，得出其理論價格，且以距到期日時間、價性及波動性作為核心迴歸變數。實證結果證實，等權加權平均隱含波動的半參數定價模型其定價誤差不論是在樣本內或是樣本外皆有較小的定價誤差，所以在不完美的市場下，半參數定價模型為一個良好的認購權證定價模型。

This thesis applies three types of pricing models (Black & Scholes model, the Black & Scholes model with linear regression correction and the semi-parametric pricing model) and two types of volatility estimation (historical and equal weighted weight-average implied volatility) to evaluate derivative warrants of Taiwan and investigates the factors which influence the degree of price deviation. Semi-parametric pricing model that couple the Black & Scholes model with a nonlinear correction function are shown to better capture contract features of warrant market in Taiwan than other models. The nonlinear correction is based on the local linear kernel regression technique with time to maturity of the warrant, moneyness of the warrant and volatility of the underlying stock as the regressors. Our semi-parametric approach of equal weighted weight-average implied volatility is found to substantially improve the model’s ability to describe the market pricing structure of Taiwan derivative warrants. The improvement in performance for the nonlinear correction model is significant for both in-sample and out-of-sample data. In general, the semi-parametric pricing model is a more suitable for pricing derivative warrants in Taiwan.

論文題目-------------------------------------------------------I
論文口試委員審定書--------------------------------------------II
授權書-------------------------------------------------------III
簽署人須知----------------------------------------------------IV
誌謝-----------------------------------------------------------V
中文摘要------------------------------------------------------VI
英文摘要-----------------------------------------------------VII
目錄--------------------------------------------------------VIII
圖目錄--------------------------------------------------------X
表目錄-------------------------------------------------------XI
第壹章 緒論
第一節 研究背景與動機------------------------------------------1
第二節 研究目的------------------------------------------------2
第三節 研究架構------------------------------------------------3
第四節 研究範圍與限制------------------------------------------4
第貳章 文獻探討
第一節 B&S模式之限制與實證研究回顧-----------------------------7
一、 B&S選擇權訂價模式-----------------------------------------7
二、 台灣認購權證之市場不完美性--------------------------------8
三、 台灣認購權證市場之實證研究回顧---------------------------11
第二節 隱含波動率---------------------------------------------13
第三節 股價分配與選擇權價格之關係-----------------------------15
第參章 研究方法
第一節 資料的來源與處理---------------------------------------18
第二節 無母數迴歸理論-----------------------------------------20
一、 迴歸分析-------------------------------------------------20
二、 核心估計量-----------------------------------------------21
第三節 認購權證訂價模型---------------------------------------25
一、 修正後B&S訂價模型----------------------------------------25
二、 半參數訂價模型-------------------------------------------25
第四節 預測能力之檢定與比較-----------------------------------27
第肆章 實證結果與分析
第一節 B&S模型的定價誤差--------------------------------------28
第二節 修正後B&S模型的定價誤差--------------------------------32
第三節 半參數定價模型的定價誤差-------------------------------39
第伍章 結論與建議
第一節 研究結論-----------------------------------------------44
第二節 研究建議-----------------------------------------------45
參考文獻------------------------------------------------------46
附錄：
附錄A 認購權證定價誤差明細表----------------------------------47
附錄B 認購權證定價誤差時間序列圖------------------------------53

一、中文部份：
1.李進生，鍾惠民，吳壽山，「現階段台灣權證發行之問題解析與與避險策略之形成:檢討與因應」，證券金融，第62期，民國88年7月。
2.李進生，鍾惠民，陳煒朋，「不同波動性模型預測能力之比較：台灣與香港認購權證市場實證」,證券市場發展季刊 第11卷第4期，民國88年9月。
3.李進生，鍾惠民，許和鈞，「金融機構發行認購權證的風險與報酬分析：標的股票產業效應與發行風險」，未發表手稿，民國89年。
4.李怡宗，劉玉珍，李健瑋，「Black-Scholes評價模式在臺灣認購權證市場之實證」，管理評論，第18卷第3期，民國88年9月。
5.俞明德，蔡立光，「臺灣上市認購權證之定價模型與避險策略研究」，臺灣銀行季刊，第50卷第4期，民國88年12月。
6.徐守德，官顯庭，黃玉娟，「臺股認購權證定價之研究」，管理評論，第17卷第2期，民國87年7月。
7.高子鈞，「國內認購權證市場價格與理論價值差異分析」，國立交通大學科技管理研究所碩士論文，民國86年6月。
8.陳煒朋，「GARCH模型與隱含波動性模型預測能力之比較」，私立淡江大學財務金融研究所碩士論文，民國88年6月。
9.陳清河，「金融機構發行認購權證之市場風險與模式風險：台灣市場歷史模擬分析」，私立銘傳大學金融研究所碩士論文，民國89年6月。
10.陳彗瀅，「台灣汽車市場需求函數之估計-無母數迴歸之應用」，台北銀行月刊，第27卷第4期，民國86年，pp43-55。
11.詹錦宏，洪啟安，「臺股認購權證價格形成的實證分析」，臺灣銀行季刊，第50卷第2期，民國88年6月。
12.趙其琳，「波動性預測模型能力之比較 ─ 臺灣認購權證之實證研究」，私立淡江大學財務金融研究所碩士論文，民國88年6月。
13.潘振雄，詹麗錦，劉文祺，張美鈴，「認購權證評價模式之實證研究-以臺灣發行之認購權證為例」，產業金融季刊，第104期，民國88年9月。
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