查詢結果分析
來源資料
頁籤選單縮合
題 名 | Black-Scholes評價模式在臺灣認購權證市場之實證=An Empirical Study of Black-Scholes Pricing Model on Warrants in the Taiwan Stock Exchange |
---|---|
作 者 | 李怡宗; 劉玉珍; 李健瑋; | 書刊名 | 管理評論 |
卷 期 | 18:3 1999.09[民88.09] |
頁 次 | 頁83-104 |
分類號 | 563.54 |
關鍵詞 | 認購權證; Black-scholes 模式; Warrant; Black-scholes' pricing model; |
語 文 | 中文(Chinese) |
中文摘要 | 臺灣本土的認購權證則於民國 86 年 9 月開始掛牌交易,開啟了金融創新的新紀 元。 在上述的金融背景之下, 本研究以臺灣的認購權證市場為研究對象,以市場上常用的 Black-Scholes 模式來計算理論價,並以統計方法檢定認購權證市價與理論價間是否存在差 異,且進一步研究可能造成差異的原因。本研究發現現行市場中認購權證市價顯著高於理論 價,且以較早發行的幾支認購權證市價高於理論價的比例較高,可能的原因除了是券商的避 險成本外, 認購權證的稀薄交易量與 Black-Scholes 模式對於標準差為常數的假設不合理 ,均可能是造成市價與理論價差異的主因。 |
英文摘要 | Warrants were introduced in Sept. 1997 in the Taiwan stock market. There exists the deviation between market price and theoretical price based on Black-Scholes pricing model. The purpose of this paper is to examine the factors of the disparity between market prices of warrants and their theoretical prices based on Black-Scholes model. The major finding of this paper is that market prices of warrants are significantly higher than their theoretical prices, especially for the warrants that issued earlier. The plausible reasons for the phonemoners are: (1) hedge costs of the issuers, (2) thin trading, (3) constant volatility assumption may be unrealistic. |
本系統中英文摘要資訊取自各篇刊載內容。