臺灣博碩士論文加值系統

〝不確定性〞為財務理論的重點。有關於資產訂價理論中的風險溢酬即決定於資產未來報酬與市場投資組合的共變異關係；而在選擇權的訂價上，其不確定性則是有關於標的資產未來價格的波動性，而此波動性之估計正是選擇權訂價公式中之重要決定因子。因此，若能將一般波動性的解釋與估計模型推廣至預測上，深信對於投資者將有所助益。
本論文以台灣在八十六年開放認購權證以來十支已到期之權證為實證標的，其研究目的在於比較決定權證價格因素之一的波動性─不同波動性方法之估計與預測能力，而以價格誤差(定義為選擇權市場價格及模型理論價格之差距)衡量之，比較的波動性預測方法有歷史波動性、GARCH模型與隱含波動性；最後並探討價誤差與選擇權訂價模型中，重要參數的關係。其實證結果如下：
1. 實證顯示利用隱含波動性的預測其價格誤差最小且不顯著，但若只利用歷史資料的估計方式，發現GARCH模型的價格誤差大多低於以歷史波動性的價格誤差，而二者之價格誤差均是顯著的。
2. 在價格誤差之解釋因子中，愈接近深價外、波動性愈小、利率愈低則價格誤差愈小，而價格誤差不隨接近到期日逐漸減小，因此無法說明市場是否具有學習機能。

The objective of this study is to compare the mispricing of option valuation models when alternate techniques are applied to the volatility estimation. The study use three methods to compare that are implied volatility, historic volatility and GARCH model. This study find that the implied volatility technique results in the least mispricing, within the class of forecasts using only historic returns data, the use of GARCH models will also significantly reduce model mispricing. Other findings in this study are:
1. The greatest percentage mispricing is present in the out-of-money .
2. The Wilcoxson sign rank test don’t rejects the null hypothesis that volatility forecasts using the CARCH models will not decrease absolute misprcing compared to the traditional forecast. And a similar test rejects the null hypothesis that GARCH forecasts result in less mispricing than the use of implied volatility.

第一章 緒論1
一、研究背景1
二、研究動機2
三、研究目的3
四、研究流程3
第二章 台灣認購權證簡介6
第一節 認購權證介紹6
一、海外台股認購權證市場6
二、國內的認購權證市場7
三、與海外發行的台股認購權證比較9
第二節 認購(售)權證的功能及風險10
一、認購(售)權證的功能10
二、認購權證的風險11
第三節 國內認購權證的交易制度12
一、交易規則12
二、認購權證屆期與履約14
三、認購權證買賣相關費用14
第三章 理論基礎與文獻回顧16
第一節 波動性估計模型簡介16
第二節 波動性估計模型的文獻回顧17
一、GARCH模型17
二、隱含波動性19
三、台灣股票市場波動性之實證25
四、不同方法預測股票報酬率波動性之實證研究26
第三節 選擇權訂價模型28
一、Black-Scholes評價模型28
二、二項式定訂價模型30
第四章 研究方法34
第一節 波動性估計方法34
一、傳統估計方式─歷史波動率34
二、GARCH模型35
三、隱含波動性39
第二節 價格誤差的衡量40
一、理論價格的計算40
二、衡量價格誤差40
第三節 價格誤差之解釋42
第五章 實證分析43
第一節 實證架構43
第二節 資料來源與處理45
一、資料來源45
二、樣本選擇與變數處理45
第三節 實證結果47
一、訂價誤差之比較47
二、價格誤差之解釋65
第六章 結論與建議72
一、價格誤差之比較72
二、價格誤差之解釋72
三、總結…73
四、對後續研究者之建議74
參考文獻75
附錄１80

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