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來源資料
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題名 | 上限型認購權證評價模式之實證研究=An Empirical Study of Pricing Models for Caps Warrants |
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作者 | 劉文祺; 洪瑩珊; 詹麗錦; |
期刊 | 證券櫃檯 |
出版日期 | 20010300 |
卷期 | 57 2001.03[民90.03] |
頁次 | 頁1-27 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 上限型認購權證; 上漲失效買權; 隱含波動率; 動態避險率; 系統風險; Caps warrants; Up-and-out call; Implied volatility; Dynamic delta; Systematic risk; |
中文摘要 | 國內的上限型認購權證,由寶來證券於88年11月發行首檔以聯電為標的股的上 限型認購權證之後,正式揭開序幕。至89年6月30日止,已發行的上限型認購權證共有七 檔,其中以建弘04及群益07分別於88年11月30日及12月27日發行,其標的股亦分別於 89年4月1日及2月19日達上限價,提前強制履約,表現不俗。由於上限型認購權證發展 不久,即有如此亮麗的表現,因此相當吸引市場的目光。 在文獻探討的過程中,本研究發現市場上對此類的權證時有討論,而部份券商在網站上 亦免費提供相關訂價軟體,供投資人使用。然經上網測試後,各券商所提的相關訂價軟體, 所求得的答案並不一致,而且券商亦沒有公佈其評價模式的相關公式及相關變數的定義,導 致投資人並沒有辦法自行測試何者才是正確,造成莫衷一是的困擾。 本研究有鑑於此,乃根據Merton(1973)與Reiner and Rubin-stein(1991)提供之「上漲 失效買權(Up-and-out Call)」訂價公式及Broadie, Mark, Paul Glasserman等(1997)提 出之「上限價格調整公式」加以建構上限型認購權證之評價模式,以提供一套適用在國內上 限型認購權證的評價模式。此外,為加速求算的速度及反覆測試的效率,乃以Visual Basic 設計相關的程式。 本研究除了對上限型評價模式加以建構外,並對其有關的避險率、歷史波動率、隱含波 動率、動態避險率、系統風險及與其他型權證的不同處加以分析,此外更佐以兩母體平均數 差、成對母體平均數差、Liliefors有關樣本、Wilcoxon成對觀測及曼-惠特尼的U等有、無 母數的檢定法,對相關的現象加以檢定,以供投資人及券商徹底對該種權證進行訂價及避險 的參考。 |
英文摘要 | In November 1999, the caps warrants with UMC common stocks as the underlying asset were first issued by Polaris securities company… hence it opened up market for caps warrants in Taiwan. There has been 7 caps warrants issued before June 30, 2000. National 04and Capital 07 caps warrants were issued on November 30 and December 27, 1999, respectively. And their underlying stocks reached the upper caps on April 1 and February 19, respectively… therefore they were executed earlier. Hence it aroused the interests of investors in the market due to its excellent performance in such a short time. Although some papers have discussed this subject and investors can also find pricing software on the internet webs at no charge which are offered by some stock brokers, we find that all the results are inconsistent after we tried these software. It confuses the investors because the brokers did not explicitly define the variables and the formula of the models. This research developed an pricing model accommodated to Taiwanese caps warrants based on the 'Up-and-out Call' pricing formula of upper caps (Merton (1973)and Reiner & Rubin stein (1997) and the adjusted formula (Broadie, Mark & Paul Glasserman (1997)). It also designed a Visual Basic program for efficient calculation and testing. This study also discussed historical volatility, implied volatility, dynamic delta, systematic risk and the comparison with other types of warrants. It tested many hypotheses with the techniques such as Wilcoxon test, Lilliefors test and Mann-Whitney U test, etc., which provides a good pricing and hedging tool for investors as well as stock brokers. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。