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題 名 | 認購權證價格行為之實證研究=An Empirical Study of the Price Behavior of Warrants: An Application of GARCH Model |
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作 者 | 巫春洲; | 書刊名 | 管理學報 |
卷 期 | 19:4 2002.08[民91.08] |
頁 次 | 頁759-779 |
分類號 | 563.54 |
關鍵詞 | NGARCH模型; 馬可夫鏈數值演算法; 認購權證; Black-Scholes評價公式; NGARCH model; Markov chain algorithm; Warrants; Black-scholes formula; |
語 文 | 中文(Chinese) |
中文摘要 | 本文利用GARCH選擇權評價模型配合馬可夫鏈數值演算法,探討認購權證價格變動的行為。台灣認購權證市場於1997年9月開始進行交易活動,到1999年12月為止,共有16檔個股型認購權證成功地上市交易並期滿下市。本文在標的股票價格服從GARCH行程的條件之下,利用馬可夫鏈矩陣演算法來對認購權證進行評價。另外,權證發行券商常用Black & Scholes與二項式模型來求算認購權證理論價格(例如:元大京華證券商的認購權證公開銷售說明書等)。我們發現在本文所選取的權證樣本之下,三種模型的理論價格皆低估了市場價格,且低估的幅度皆具統計顯著性。並以GARCH模型評價結果最接近市場價格。最後並探討影響GARCH模型價格與理論價格差異的可能因素,研究結果發現:權證距到期日的時間、流動性及權證的價內程度(moneyness),在解釋價格差異程度上,皆具有統計的顯著性。 |
英文摘要 | This paper attempts to employ the GARCH option pricing model proposed by Duan(1995) to empirically examine the pricing of Taiwan stock market related call warrants. We adopt the Markov chain algorithms of Duan and Simonato(2000) for pricing warrants. There exists the deviation between the market price and the theoretical price based on NGARCH process. But the difference between market prices and NGARCH model prices are less than the differences between market prices and BS theoretical prices. We found the NGARCH model performs very well in comparison with the BS model in warrants pricing. As to the difference between market and model prices can be explained by the degree of moneyness, liquidity and time to expiration. These parameters are significant in explaining the difference between market prices and NGARCH model prices in statistical. |
本系統中英文摘要資訊取自各篇刊載內容。