頁籤選單縮合
題 名 | 考量信用風險下備兌型認購權證之評價=Valuation of Covered Warrant with Credit Risk |
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作 者 | 周麗娟; 陳勝源; 楊朝成; | 書刊名 | 臺大管理論叢 |
卷 期 | 14:1 2003.12[民92.12] |
頁 次 | 頁263-289 |
分類號 | 563.54 |
關鍵詞 | 認購權證; 選擇權; 脆弱認購權證; 信用風險; 違約風險; Warrant; Option; Vulnerable warrant; Credit risk; Default risk; |
語 文 | 中文(Chinese) |
中文摘要 | 國內券商發行之備兑型認購權證並無完整結算機制存在,因此投資者於購買認購權證時必須考慮發行券商之信用風險。本文應用Klein(1996)之脆弱(vulnerable)選擇權評價公式,以國內證券商發行之認購權證為實證資料,將發行證券商之信用風險納入考慮後,探討備兑型認購權證之理論價值,及其與選擇權價值、認購權證市價之差異比較。此外,本文亦對影響脆弱認購權證價值之主要變數進行比較靜態分析。 |
英文摘要 | There is no sufficient margin settlement mechanics for prevailing covered warrant in Taiwan, thus the credit risk of warrant issuer must be considered when investors evaluate the price of covered warrant. This paper applies Klein's (1996) vulnerable option valuation model to empircially study the difference among the theoretical value of vulnerable warrant, Black & Scholes option price and the market price of warrant by using the domestic warrant data. Furthermore, this paper also analyzes the impacts of main variables on the price of vulnerable warrant through sensitivity analysis. |
本系統中英文摘要資訊取自各篇刊載內容。