臺灣博碩士論文加值系統

經由許多實證研究後發現，Black-Scholes(BS) 歐式選擇權評價模型在不同的價值(Moneyness)與存續期間(Maturity)下，則會產生具規律性的偏離，而可能解釋因素，即為標的股票報酬率的波動性是會隨時間變動而改變的。另由自我相關條件異質變異(Autoregressive Conditional Heteroscedasticity，ARCH)，或是一般化自我相關條件異質變異(Generalized Autoregressive Conditional Heteroscedasticity，GARCH)的文獻中，亦清楚地指出，認購權證的隱含波動性會隨著時間變動而改變，所以，本研究修正了標的股票價格報酬率的波動性為一常數之假設，應用Heston(1993)所推導出的歐式選擇權模型，作為認購權證之評價模式，對於國內的認購權證進行評價，以作為業界於定價、避險和投資大眾在投資認購權證時評估之新參考。本研究的結果可以發現，當認購權證的隱含波動性會隨著時間變動而改變下，明顯的改進了，用Black-Scholes選擇權評價模型對國內單一股票型認購權證之評價。同時發現，標的資產的報酬率及變異數之間呈現正相關性。但是，於衡量動態避險績效時，結果卻未獲致一明確結論。

Numerous empirical studies have found that the Black-Scholes Model results in systematic biases across moneyness and maturity. One possible explanation is that volatility of the underlying asset return is not constant over time. The autoregressive conditional heteroscedasticity or generalized The autoregressive conditional heteroscedasticity (ARCH/GARCH) literature and empirical studies of implied volatility also clearly show that volatility changes over time. This study modifies the assumption of volatility being constant. The purpose of this article using Heston''s (1993) stochastic volatility option pricing formula prices single-stock warrants being a reference of pricing, hedging and holding for the investors.The results of this research reveal the evidence of stochastic volatility is to improving the performance of the Black-Scholes model (1973) for pricing single-stock warrants. The results although show that the correlation between asset''s returns and volatility is positive. But, for measuring the performance of dynamic hedging, this study has not got any consistent conclusion.

中文摘要……………………….….………...…………………….…………………i
英文摘要………………………….………………….………...……………………ii
致謝…………………………………………………….………………………...…..iv
目錄………………………………………………...…………….……………….….v
表目錄………………………………..…………………………..………..…...…..vii
第壹章緒論…………………………………………………………….…….1
第貳章文獻回顧…………………………………………………………….3
第參章研究方法…………………………………………………………….6
第一節Black-Scholes模型……………………………………………………6
第二節Heston模型……………………………………………………..…….9
第三節估計方法…………………………………………………………….14
第肆章資料與研究結果………………………………………………….15
第一節樣本資料…………………………………………………………….15
第二節估計結果…………………………………………………………….17
第三節樣本外之評價偏誤………………………………………………….19
第四節動態避險之績效………………………………………………….…30
第伍章結論………………………………………………………………....35
參考文獻……………………………………..…………………………...…………37
附錄參數估計與評價結果……………………………….…….………41

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