查詢結果分析
來源資料
頁籤選單縮合
題名 | 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=An Empirical Study for Pricing Models of Covered Warrants in Taiwan |
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作者 | 潘振雄; 劉文祺; 詹麗錦; 張美鈴; |
期刊 | 證券金融 |
出版日期 | 19991000 |
卷期 | 63 1999.10[民88.10] |
頁次 | 頁1-37 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 認購權證; Black & scholes模型; Cox ross及robinstein模型; 歷史波動率; 隱含波動率; Covered warrants; Black & scholes model; Cox ross & rubinstein model; Historical volatility; Implied volatility; |
中文摘要 | 臺灣之認購權證於八十六年六月,經證期會核准三十一檔股票為認購權證的標的 物,同時核可大華與寶來綜合證券為第一批合法的發行機構,已正式開展。然發展至今,有 關衡量認購權證合理價格之相關理論及軟體,皆缺乏有系統的推導過程,導致投資人不易評 估認購權證之合理價格。 本研究有鑑於「給你一簍魚,不如教你釣魚」的理念,乃引用至88年7月已到期之單一 型認購權證的股價資料,以「Black & Scholes」及「Cox、Ross及Rubinstein」兩模式為理 論基礎,並以BASIC語言設計買權評價模式之相關程式,以便迅速比較兩模式之差異點。期 能提供學術界及實務界計算認購合理價格之參考。 |
英文摘要 | In June 1997, Taiwan Stocks and Futures Exchange Committee approved 31 stocks as underlying assets of covered warrants and authorized Da Hwa and Bao Lai Securities companies as issuing underwriters. Until now, there has been lack of systematically derived process regarding theories and softwares for pricing covered warrants so that investors do not have a good tool to determine reasonable prices. Believing in the philosophy of teaching people how to catch fishes instead of giving them fishes, we designed BASIC programs of call option pricing models based on theories of Black & Scholes and Cox, Ross & Rubinstein. By running the data of single type covered warrants matured in July 1999, it quickly compared the difference between these two models. It provides an excellent tool for both academic scholars and investors for deriving prices of the desired covered warrants easily. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。