臺灣博碩士論文加值系統

本研究探討在交易成本及間斷避險的實務環境下，以時間為間斷調整基礎的Leland(LL)、Boyle and Vorst(BV)、Whalley and Wilmott(WW)模型，及以股價變動為間斷調整基礎的Henrotte(HR)模型，是否能對台灣的認購權證做出正確的訂價，檢驗各模型訂價誤差，並比較兩種不同調整基礎的模型以何者較適合台灣的權證市場。
本研究發現隱含波動性因為較能夠反應股價的快速變動，所以隱含波動性的各模型理論價格與市價並無顯著的差異，而GMM法波動性無法納入投資人對於未來的預期，所以GMM法波動性的各模型理論價格與市價有顯著性的差異。
以隱含波動性而言，BV模型的訂價誤差最小，LL模型、HR模型次之。這是因為BV模型比LL模型更符合實務的環境，但以股價變動為調整基礎的HR模型，雖然其模型價格與權證市價並無差異，但其誤差仍較以時間為調整基礎的LL、BV模型的誤差大。

This study empirically examines the forecasting ability of warrant pricing models for Taiwan''s covered warrants with transaction costs. The warrant pricing models include The time-based models and move-based models. Leland（LL)、Boyle and Vorst（BV）、Whalley and Wilmott（WW） is belong to time-based models. Henrotte（HR）is belong to move-based models.
First, it is found that the model price with implied volatility is closer to market price than with GMM volatility. This show implied volatility has batter forecasting ability for the future than GMM volatility.
Second, BV model has smaller pricing error than LL、HR models with implied volatility.Because BV model''s assumption matches with the trading environment.
Third, models with GMM tend to underprice the warrants in deep out-of-the-money and overprice the warrants that experience in the money.
When warrants is out of money，WW model has the smallest pricing error. Because it consider the expected return. When warrants is in of money，LL model has the smallest pricing error. Because it has the smallest volatility.

目 錄
第一章 緒論..…………..………………………………………………………………..1
第一節 研究動機..……………..…………………………………………………...1
第二節 研究問題…..…………………..…………………………………………...5
第三節 研究目的……..………………………..…………………………………...7
第四節 研究範圍及限制.....………………………………………………………..8
第二章 文獻回顧………………………………………………………………………10
第一節 選擇權訂價模型的簡介…………………………………….……….…...10
第二節 交易成本與間斷調整的影響…………………………………….……. ..14
第三節 選擇權訂價模型的實證研究…………………………………………….17
第三章 研究方法………………………………………………………………..……..20
第一節 資料來源………………………………………………….…..…. …. …..20
第二節 模型的使用…...…………………..……………...…………………..…. .22
3.2.1 The Time-Based Models……………………………………….……….22
(1)Leland理論訂價模型……………………………………………………22
(2)Boyle and Vorst理論訂價模型………………………………………….23
(3)Whalley and Wilmott理論訂價模型……………………………………26
3.2.2 The Move-Based Models……………………………………………….27
(1)Henrotte理論訂價模型………………………………………………….27
第三節 波動性的估計………………………………………………………….…29
3.3.1 隱含波動性……………………………………………………………..30
3.3.2 GMM法波動性……………………………………………………….. 31
第四節 實證研究方法…………………………………………………………… 33
3.4.1 偏誤檢定………………………………………………………………. 34
第四章 實證分析………………………………………………………………………37
第一節 訂價誤差檢定…………………………………………………………….37
4.4.1 偏誤檢定分析………………………………………………………..…37
4.4.2 模型比較………………………………………………………………..45
第二節 迴歸分析……………………………………………………………….…49
第伍章 結論……………………………………………………………………………..58
附錄一……………………………………………………………………………………..61
附錄二……………………………………………………………………………………..62
附錄三……………………………………………………………………………………..70
附錄四……………………………………………………………………………………..74
參考文獻……………………………...…………………………………………………I-Ⅴ
圖 次
圖1A-大華01-LL Model……………………………………………………….……..38
圖1B-大華01-BV Model……………………………………………………………..38
圖1C-大華01-HR Model……………………………………………………………..39
圖1D-大華01-WW Model……………………………………………………………39
圖2A-寶來03-LL Model……………………………………………………….……..40
圖2B-寶來03-BV Model……………………………………………………….……..40
圖2C-寶來03-HR Model……………………………………………………….……..41
圖2D-寶來03-WW Model……………………………………………………….……41
圖3A-金鼎01-LL Model……………………………………………………….……..42
圖3B-金鼎01-BV Model……………………………………………………….……..42
圖3C-金鼎01-HR Model……………………………………………………….……..43
圖3C-金鼎01-WW Model……………………………………………………….…….43
圖3C-金鼎01-WW Model……………………………………………………….…….43

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