本研究主要以“市場效率性”與“套利機會”之概念出發，並使用類似於“日內事件研究(Intraday event-study)”的方式，觀察標的股票漲停後，認購權證市場在各種特定時間內的情況。希望探討(1) 標的股票漲停後，是否其相對應之認購權證亦同時漲停或達到最高點？(2) 標的股票漲停這一事件，認購權證市場是否有利可圖、是否具有套利之機會？(3) 最後並以Logistic迴歸模式，檢定影響標的股票漲停後，認購權證亦漲停之主要因素，完成此研究。而其中，在時間落差與套利利潤的這前兩項研究當中，本文將資料加以分類，將認購權證價格資料分為 “標的股票漲停後，當日所有時間內”、“標的股票漲停後，一小時內”、“標的股票漲停後，兩小時內”以及“標的股票漲停後，市場即將收盤”等四類加以研究。研究結果如下： 1.無論是在價內、價外或接近價平的認購權證當中，標的股票漲停時間與 認購權證最高價(包括漲停價)之時間差皆相當顯著，顯示標的股票市場 與認購權證市場之間價格資訊之傳遞，具有一定顯著性的落差，效率市 場假說並不成立、認購權證市場對於漲停之正面消息的反應顯著落後於 標的股票市場平均約25分鐘。 2.標的股票漲停後，以此漲停作為一事件並操作“在標的股票漲停時，賣 出標的股票並同時買進相同金額、相對應之權證，且在權證達最高價時 將權證賣出並買入股票還券”之策略的投資者，平均大約可以獲得0.6% ~1.3%的套利利潤。 3.將標的股票漲停後認購權證亦漲停之樣本挑出做檢定，其研究結果顯 示，標的股票漲停與認購權證漲停之時間具有相當大的顯著落差。但 在套利利潤的檢定方面，所有對“標的股票漲停、認購權證亦漲停” 之證券操作套利策略之結果，其所得利潤卻皆為0。探究其原因，標的 股票漲停到認購權證漲停這一段時間內，持有此類型(會漲停)證券的投 資者，皆不會將證券賣出，第一筆可以買到的權證就是權證的漲停價 格，故使得套利策略無法執行，無法取得套利利潤。 4.Logistic迴歸模式之結果： (1) 槓桿比率越高的權證由於其認購權證價格相對於其標的股票顯得低了 很多，故使這類權證越容易在標的股票漲停後，達到漲停。 (2) 相較於價外的認購權證，處於接近價平的認購權證較易吸引投資人， 故使這類權證較價外之權證容易在標的股票漲停後，達到漲停。 (3) 一項足以使標的股票市場漲停的正面消息釋出後，相較於大型券商， 小型券商所發行的認購權證較容易在標的股票漲停後，達到漲停。 (4) 由於重設型權證具有重設的特性，使這類認購權證相較於一般型的認 購權證，更容易貼近於其履約價、更接近於價平，故這類的權證相較 於一般權證更容易在標的股票漲停後，達到漲停。 由於以上所述四類特性之權證，雖然其“時間落差”的檢定結果是顯 著的，但在標的股票漲停與權證漲停這一段落差時間內，卻因無法購 得權證而獲得套利利潤，故在操作套利策略時，應將這類權證加以摒 除。

投資者面對到期日相同的一序列不同履約價格的選擇權時，應如何建立最佳的組合交易策略，這個問題雖已有許多標準的交易公式可依循，但這些標準的交易策略無法全面涵蓋複雜多變的組合策略。本論文提出整數線性規劃模型用來建立選擇權的最佳交易策略。模型針對到期日相同的買權、賣權如何買賣的組合，建立最佳交易策略。若我們預期在到期日時，標的股價將會落在某一範圍內，則我們可修改原來的規劃模型配合此項預期，以尋求最佳的交易策略。最後，我們以Ericsson的選擇權為例，驗証本模型的效能。 / The problem of how to construct the optimal combination trading strategy for investors when they face a series of options of different exercise prices on the same maturity date can be solved by many standard trading rules. Yet these standard trading rules cannot completely cover the complex and highly changeable combination strategy. This thesis proposes an integer linear programming (ILP) model to construct the optimal trading strategy for option portfolio selection. This model focuses on constructing the optimal strategy for an option portfolio of call- and put-options on the same maturity date. Given the investor's belief of the stock price, we also provide an extended ILP model to include this belief. Finally, an empirical study will be presented by using the ILP model applied to the Ericsson's call and put options.

本論文的理論研究先進入選擇權的理論基礎，探討選擇權重要的定價理論與選擇權最新的避險理論，再進一步探討波動度選擇權套利理論，分析利用買權與賣權持入波動度(Long Volatility)或放空波動度(Short Volatility)的組合價值變化。 實證分析方面，本研究將此波動度選擇權套利理論應用在全世界權證交易最活絡的香港權證市場，採取過去1998年香港權證市場做為實證的期間與對象，並且選取香港□生指數前三大成份股：長江實業、匯豐控股、香港電訊做為實證上的樣本，從中各選取其相關權證中交易最活絡的前三支備兌認購（沽）權證做為波動套利理論實證，本研究為力求與套利時能與香港實務環境相吻合，亦進一步分析香港衍生性金融市場的交易制度與投資成本，予以詳細考慮香港權證與證券市場的交易成本與稅賦，並且將可能衍生的成本加計香港的銀行利息，試圖求取最符合實務環境下的資金成本。並且考慮三種不同波動度的估計方式，期望在嚴謹的分析下，比較出最客觀的套利方式。除此之外，並列舉出香港實務界在操作權證或選擇權常用的套利策略。 我們發現在過去1998年香港權證市場應用波動度選擇權套利策略都能產生超額的利潤，而且比較三種波動度估計下的套利表現，發現採取Garman & Klass波動度估計式整體套利表現優於隱含波動度（Implied Volatility）與傳統的歷史波動度(Historical Volatility) 的計算方式。 另外發現的是：採取持入波動度套利時，股價大幅下跌，較股價大幅上漲的套利利潤要高出許多，這樣的實證結果與股價下跌市場波動度上升、股價上漲市場波動度下降的理論現象完全一致，因此發現當我們採取持入波動度策略，面對股價大幅下挫而使得市場股價波動度上升，所能捕捉到的套利利潤亦隨之大增。此外，我們利用認購權證推算隱含波動度亦可發現香港備兌權證具有波動度微笑（Volatility Smile）的現象。故本研究實證結果與理論皆獲得一致的結論。 值得一提的是：本研究嘗試利用權證推算市場隱含波動度，在適當的時機採取不同的波動度套利策略，靈活採取持入波動度與放空波動度的套利操作，皆能獲取比單純只採取持入波動度套利策略較高的報酬，值得提供給市場投資者予以深入探討。 PART1：緒論 第一章 前言與緒論 第一節 研究背景與動機…………………………………..….…1-1 第二節 研究問題與目的 ……………………………………….1-2 第三節 研究範圍與內容…………………………………….…..1-2. 第四節 論文架構流程…………………………………………...1-4 PART2：理論探討與文獻回顧 第二章 現代選擇權定價理論 第一節 Black-Scholes Model .…………………………………..2-1 第二節 Black-Scholes Extended Model…………………………2-3 第三節 CRR Binomial Tree Model……………………………...2-7 第四節 B-S Model的缺陷與實務上的限制……………………2-8 第三章 現代選擇權避險理論 第一節 影響選擇權價值的因素及其價格敏感性……….…….3-1 第二節 風險中立避險法…………………………………..……3-8 第三節 永恆靜態避險法…………………………………….….3-3 第四節 選擇權在交易成本下之間斷性避險…………………..3-16 第四章 股價波動度下之選擇權套利理論分析 第一節 持入波動度套利理論分析……………………………..4-1 第二節 放空波動度套利理論分析……………………………..4-19 第三節 波動度賣權套利理論分析……………………………..4-27 第四節 選擇權合成套利理論分析……………………………..4-37 PART3：波動度套利理論之實務應用：以香港備兌權證市場為實證 第五章 香港認購（沽）權證市場之析論 第一節 備兌認購權證與權益認股權證…………………………..5-1 第二節 香港股票選擇權、認股權證與恆指選擇權之比較……..5-2 第三節 香港權證市場之交易制度與投資成本分析……………..5-5 第四節 香港備兌權證市場之投資實務…………………………..5-8 第六章 香港實務界常見的選擇權套利策略 第一節 多頭市場：牛市認購（沽）跨價套利…………………6-1 第二節 空頭市場：熊市認購（沽）跨價套利…………………6-3 第三節 波動市場：購入馬鞍式與勒束式組合…………………6-6 第四節 盤整市場：比率認購（沽）跨價套利…………………6-8. 第五節 各種選擇權套利策略之總結……………………………6-11 第七章 波動度套利實證分析與結果 第一節 分析香港權證市場近況…………………………………..7-1 第二節 資料描述與選取採樣……………………………………..7-7 第三節 股價波動度與市場交易成本之計算……………………..7-10 第四節 波動度套利: 以香港備兌認購(沽)權證市場為實證……7-13 PART4：總結 第八章 結論與建議 第一節 結論…………………………………………………………8-1 第二節 建議…………………………………………………………8-2 第三節 對後續研究之建議…………………………………………8-3 附錄一：1998年香港金融市場大事紀要………………………………..Ⅰ 附錄二：1998年香港恆生指數十大漲跌幅統計………………………...Ⅳ 附錄三：香港的銀行與證券商證券交易部份收費之比較………………Ⅴ 附錄四：香港證券市場常用術語解釋……………………………………Ⅵ 附錄五：長江實業、匯豐控股、香港電訊的歷史股價波動度圖………Ⅸ 參考文獻 / First, Our research tries to get into the theoretical base of the options：the important pricing theories and the most advanced hedging ones of the derivatives instruments. Further than that, by analyzing the changes of the portfolio value composed of long volatility and short volatility of call and put options, it would explore the essence of volatility option trading theory. On the empirical analysis front, we will apply the volatility option trading theory to the most liquid derivatives warrants market in the world □ Hong Kong derivatives warrants markets. The subjects in this research are Cheung Kong (Holdings) Ltd , HSBC Holding Plc , Hong Kong Telcom Ltd □ the three heaviest components in HK Heng Seng stock Index. And the sample period is 1998 with the derivatives warrants data of the three companies, we test the volatility option trading theory. In order to fit the HK market conditions while the arbitrage operation take place, we analyze the HK trading system and the investment costs derived from the interest charge by the bank in HK to reach the opportunity costs in line with practical environment. By comparison of these three different volatility estimators, we can define the most objective way to do the trading in the most discreet manner. On the top of that, we enumerate the common trading strategies with warrants and options in HK markets. We find that the volatility option trading theory can yield excess return in the 1998 HK warrants markets. Moreover, adopting Garman & Klass volatility estimators outperforms the implied volatility and the historical volatility ones as well. On the side line： when the investors trade with long volatility in the falling stock market profit from the strategies are much larger than the ones generated from sharply stock price rise market. The conclusion is consistent with the theory that when the stock price is falling; the market volatility increases and vice versa. Therefore the more market volatility caused by the stock price fall at the large scale, the more profit captured by the options trading method. By the way, in this process that we infer the implied volatility by using the market information, we can also find phenomenon of volatility smile which is coherent with the original theory. It worth mention that our research is approximated the implied volatility in the market with the warrants. By wisely adopting different volatility trading strategies in the different time and long & short volatility could profit better than purely the performance of long volatility trading strategies. That could pave the way for the market participants to study further on such issues in the near future.

指數基金的投資策略，已經被愈來愈多的投資者和投資機構所接受。在實務上，指數基金的建構方法大多都採取簡化的方法或是最佳化的方法，簡化的方法可以快速求得解答，但答案未必是最佳，而一般的最佳化方法又過於耗時；為了在效率和最佳化之間求得平衡，這篇論文中提出了目標規劃的模型以及一套有效率的演算法來計算實際的問題；本文還提出了一個新的測度方法，用來衡量指數追蹤的誤差，衡量的方法主要是依據指數的數值和所建構的投資組合其價值相差的絕對值。本文的實證分析採用了摩根台灣加權指數來測試所建構的模型和演算法，結果顯示所建構的投資組合能準確的追蹤指數，誤差不超過0.8%。 / Creating index-tracking stock baskets has been accepted by more and more investors or institutes as one part of a total investment strategy. In practice, the selection methods widely adopted are some simplified methods (e.g. stratification) combined with some criteria, and some optimization models to minimize the traditional tracking error. Simplified method facilitates for obtaining a feasible answer, optimal in no sense, while the optimization model usually requires larger computational efforts. For bridging the gap between having efficiency and seeking optimality, we propose a goal programming model and develop an efficient solution algorithm. We also suggest a new measure of tracking error basing on the absolute difference between the value of the benchmark and the index computed from the portfolio obtained from our model. Empirical analyses employ the Morgan Stanley Capital International (MSCI) Taiwan Index to assess the tracking efficacy of the model. Computational results show that the constructed portfolio can track the index with error less than 0.8%.

投資者面對到期日相同的ㄧ序列不同履約價格的選擇權，已有許多文獻提出如何建立選擇權最佳投資組合，但模型中均未考慮交易成本。選擇權在實際市場的交易過程中，投資者所支付的手續費與賦稅即為選擇權的交易成本。本論文針對買賣到期日相同但不同履約價格的買權與賣權如何組合，提出考慮交易成本的整數線性規劃模型，建立選擇權最佳交易策略。我們不考慮股價變動的機率分配型態，延伸楊靜宜 (2004)所建立之整數線性規劃模型和Liu與Liu (2006)的大中取小模型，建構考慮比例制、固定制與混合制交易成本之整數線性規劃模型。最後，我們以台指選擇權(TXO)為例，驗證模型的效能。 關鍵字：交易成本，選擇權交易策略，整數線性規劃，選擇權套利機會。 / There are many researchers focus on constructing the optimal strategies and propose integer linear programming (ILP) for a series of options which are on the same maturity date with different strike price, but they neglect transaction costs in their models. The transaction costs of options are the handling charge and taxes which investors should pay for trading in the market. The thesis proposes an ILP with transaction costs to construct the optimal strategy for an option portfolio of call- and put- options on the same maturity date with different strike price. We leave the distribution of the variety of stock price out of consideration and extend Yang’s (2004) model and Liu & Liu’s (2006) min-max regret model to construct ILP with proportional, fixed, and mixed transaction costs. Finally, we take the trading data of TXO as an empirical study to test and verify the efficiency of our models. Key words: transaction costs, option trading strategies, integer linear programming, option arbitrage opportunities.

本文以在中國大陸證券市場上交易量最大，流動性最好的兩隻指數型ETF——華夏上證50ETF（SH510050）和華泰柏瑞滬深300ETF（SH510300）,為一個配對組合，進行統計套利。本文先簡要配對交易的實質和常用方法，以及這一策略目前在全球市場和中國大陸市場上的應用和研究狀況。而後又介紹了這兩隻ETF的標的物——上證50指數和滬深300指數，並闡明為何選取這兩個指數相關的ETF作為統計套利的原因。 接著，分析了華夏上證50ETF和華泰柏瑞滬深300ETF的相關性，從這兩隻ETF的相關性出發，建立共振合模型，並建立一階誤差修正模型對兩隻ETF的短期非均衡狀態進行補充。在此基礎上設定交易規則進行模擬交易。同時我們還在文中後續探討了交易成本和止損點的設置情況。 經過模擬交易，我們發現在一個標準差為開倉閾值的情況下出現的套利機會非常少且收益率較低。因此我們修改交易規則，來探討模型存在的問題，發現當將開倉閾值設為價差序列兩個標準差時，交易次數沒有增加，但收益率有所好轉。當將開倉閾值設為移動平均數和移動標準差，交易次數明顯增加，但收益率並沒有好轉。為進一步驗證上述結論，我們通過樣本外資料進行測試，發現與上述結果一致。此外，我們還通過延長時間序列的方式增加樣本量，得到結果也與上述一致。在用高頻資料交易結果不理想的情況下，我們採用了兩隻ETF的日收盤價格序列建立統計模型和模擬交易，發現在這種情況下，存在套利空間，但第一和第二種策略的套利機會較少，第三種策略套利機會相較前兩種策略要多得多。 分析上述結果產生的原因，主要原因有二：第一，在採用高頻資料的時候，模型的殘差項標準差較小，也就意味著該模型的偏離程度不高，因此套利空間較小。第二，這一配對組合所建立的模型其ECM項係數均非常小，也就意味著模型的長期穩定對時間序列的短期波動影響很小，因此出現的套利機會非常少。 此外，在此說明的是本文所採用的樣本資料為華夏上證50ETF和華泰柏瑞滬深300ETF在2016年7月1日到2016年10月31日每十分鐘的高頻交易價格資料，資料來源為中國大陸的WIND資料庫。 / This essay uses Huaxia SSE50 ETF (Code: SH510050) and Huataiborui CSI300 ETF (Code: SH510300), the two ETFs with the largest trading volume and the best liquidity in the China’s security market, as a pair for statistical arbitrage. Firstly, we introduce the definition of the strategy—pair trading, and its current application in the global and China’s mainland stock market. Then, the essay presents the underlying assets of the two ETFs, SSE50 Index and CSI300 Index, and explains why we choose the two ETFs for statistical arbitrage. Secondly, we analyze the correlation between Huaxia SSE50 ETF and Huataiborui CSI300 ETF, and build the co-integration model based on the correlation. Meanwhile, we establish the first-order error correction model to supplement the short-term imbalance of the two ETFs. On this basis, we set trading rules for simulated transaction. Moreover, we consider trading costs and stop-loss points in this article. After simulated trading, we find that both the trading time and the return are not good enough when we set a standard deviation as the threshold. So we modify trading rules, using the two standard deviations and moving standard deviation as thresholds, but it still doesn’t work. In order to further verify the above conclusion, we change the sample data by adding two times of the original and using the daily closing price, and it reveals that when we use the daily closing price to trade, the yield is better than the high-frequency trading price. There are two reasons for this conclusion. First, the standard deviation of the model’s residual is so little that the arbitrage space is small. Second, the coefficients of ECM is too little, which means the long-term stability of the model has little effect on the short-term volatility of the time series, thus leading to fewer arbitrage chances. In addition, the data used in the article are from the Wind Database in China.

Sloan（1996）研究指出，投資人無法完全地分辨出應計項目與現金流量間盈餘持續性的差別，導致對應計項目資訊反應過度，而對現金流量資訊則反應不足，因此公司擁有相對較高（低）的應計項目使用金額，預期會有負（正）的未來股票異常報酬率，此種存在於應計項目與未來來股票異常報酬率間之負向關係，即本文所稱之「應計項目異常現象」。 投資人方面，本研究依資訊取得優勢，區分為內部關係人、機構投資人（外資、投信、自營商）與自然人；投資人持股行為則分別以持股比例與持股比例變動代表。此外，並將應計項目分別以總應計項目與總應計項目組成要素下之個別營運資金應計項目（應收帳款變動數、存貨變動數與應付帳款變動數）作衡量。首先測試應計項目異常現象是否存在於我國，再利用應計項目異常現象建構之套利投資組合，買進最低應計項目金額的投資組合而賣出最高應計項目金額的投資組合，探討應計項目異常現象與投資人持股行為之關聯性。 實證結果顯示，應計項目異常現象存在於我國，亦存在於個別營運資金應計項目。持股比例方面，外資與內部關係人似乎能利用應計項目異常現象形成之套利投資組合；當總應計項目的金額愈低，持股比例會愈高，但在不同應計項目的衡量方法下會有不同的結果。持股比例變動方面，除內部關係人與自然人稍佳之外，本研究設計之迴歸模型並無對應計項目與投資人持股比例變動間之關聯性有足夠的解釋能力。此外，第二年度的內部關係人持股比例變動雖與總應計項目、存貨變動數有負向的關聯性，惟統計結果並不顯著。 關鍵字：應計項目異常現象、投資人、持股行為、應計項目、機構投資人、內 部關係人、自然人、套利投資組合 / Sloan（1996）results indicate investors failing to distinguish fully between the different properties of the accrual and cash flow components of earnings. This leads to overreaction of the information contained in the accrual components of earnings and underreaction of the cash flow components of earnings.Consequently,firms with relatively high (low) levels of accruals experience negative (positive) future abnormal stock returns. The negative relationship between accounting accruals and subsequent stock returns calls the “Accruals anomaly” in this paper. With repect to the investors, I distinguish them from the advantage of obtaining the information into insiders, institution investors (QFII, mutual funds, security dealers), and individual investors; then use the percentage of the investors’ holding and the percentage of the investors’ holding change to represent the investors’ holding behavior. Besides, I use the total accruals and individual working capital accruals（change in accounts receive, change in inventory, and change in minus accounts payable）to measure accruals. Firstly, I test whether the accruals anomaly exists in our country or not, then exploit the hedge portfolio formed by accruals anomaly,by taking a long position in the stock of firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals generates positive abnormal stock returns to probe into the association between accruals anomaly and investors’ holding behavior. The results suggested that accruals anomaly indeed exists in our country and the individual working capital accruals. With regard to the percentage of the investors holding, QFII and insiders seems to capable of exploiting the hedge portfolio formed by accruals anomaly; when firms with relatively low levels of total accruals experience the percentage of the high investors holding,but there have different results of using dissimilar measurement of accruals. For the percentage of the investors holding change, this paper’s regression model doesn’t have enough capability of explaining the association between accruals and percentage of the investors holding change except insiders and individual investors. Furthermore, although the percentage of the insiders’ holding change in the second year is negatively correlated with total accruals and change in inventory, the empirical results are not significant. Key words: accrual anomaly, investors, holding behavior, accruals, institution investors, insiders, individual investors, hedge portfolio

日本經濟自1990年起，由「日本第一」落入「流動性陷阱」，而陷入長達10多年的不景氣，主因是日本股市及不動產市場重挫，企業向銀行貸款所提供之擔保品價值下滑，卻因在低利率時代已過度借貸，又經營不善面臨虧損，發生償債困難，一旦財務有所改善，只想提前償還貸款，而無增加貸款意願，故稱為「資產負債表的衰退」（Balance Sheet Recession）。整體經濟景氣蕭條，國內需求不振，亦使振興經濟之寬鬆貨幣政策無法達到預期效果。 日本資產泡沫的破滅使銀行體系的逾放問題日益嚴重。日本政府為了加強銀行體系的健全性，實施金融改革（Big Bang）。使原本以傳統存、放款業務為主的銀行，在面臨國際化浪潮時，也能同時經營證券、保險業務，並將新金融商品引進日本。並由隸屬於內閣府的金融廳(Financial Services Agency)來監督日本銀行及證券業務，負責金融檢查及金融法規企劃業務，落實金融與財政分離之原則。但日本金融業務日益多元化，及衍生性金融商品日趨複雜，對金融監理機關之專業能力，形成新的挑戰。以上所述為日本國內的經濟與金融問題。 至於日圓對外幣的匯率方面，由於日圓利率偏低，套利交易(carry trade) 盛行。投資人趁著日本央行維持低利率之際，借入低成本的日圓資金，然後換成利率較高的外幣轉戰國際市場，追逐收益較高的資產，同時賺取利差、匯率及資產升值的價差，使日圓匯率的走勢疲弱，也造成全球金融市場的波動。 本論文的分析包含： ㄧ、日本經濟不景氣問題剖析：股市及不動產資產泡沫化 二、日本金融危機形成原因：資產價格下跌，影響抵押品價值，企業償債能力變差，故使銀行不良債權增加。 三、日本總體經濟近況（GDP、CPI、失業率的變化）及經濟復甦後日本央行貨幣政策的改變 四、日本金融市場如股市、房地產市場及日本政府債券（JGB）市場的分析及展望。 五、探討日本銀行業獲利能力、不良債權問題、資本適足率以及銀行業股價指數的變化。 六、根據台灣以及日本最近的發展對金融監理單位及銀行業提出應有的改革與建議。 / The Japanese economy fell into a “liquidity trap” in 1990. Due to the stock market and real estate market plunge, the deep recession has lasted for over 10 years. The bursting of asset bubbles caused the balance sheets of enterprises to become weaker and weaker. All companies hoped to reduce their debt to banks if they were profitable. They had no intention to reinvest any more. So it was called - Balance Sheet Recession. Even though the Bank of Japan adopted an easy monetary policy, the financial system remained vulnerable. With the bad debt of commercial banks increasing, the NPL (non-performing loan) problem has been a major concern for city banks and regional banks. Japan's "Big Bang" reforms radically altered its financial marketplace. The barriers separating banks, securities, and insurance companies were lowered. The Financial Services Agency replaced Ministry of Finance to oversee banking, securities and exchange and insurance in order to ensure the stability of the financial system. As for financial business diversified and derivative products complicated, there were many great challenges facing the financial regulatory authorities. During the past decade, the yen carry trade has become a target for many investors or speculators. Traders using this strategy attempt to capture the difference between the interest rates of two currencies. Taking USD/Yen for example, they borrowed the cheaper yen and invested in U.S. Treasuries yielding a higher interest rate. It causes the depreciation of Japanese Yen and increases the volatility of financial markets. This essay describes Japanese financial crisis, Japanese monetary policy, stock market, and real estate market. Besides, I analyze the profitability, capital adequacy, and non-performing problems of Japanese banks. Finally, I give my personal opinions on Taiwan and Japan’s banking industry.

本論文提出線性規劃的方法以還原隱藏於選擇權市場價格中的風險中立機率測度，並利用該機率測度計算選擇權的合理價格。模型中假設選擇權對應同一標的資產與到期日，資產價格於到期日的狀態為離散點且個數有限，當市場不具任何套利機會時，以極小化市場價格與合理價格之離差總和作為挑選風險中立機率測度的準則。最後，以臺指選擇權(TXO)的交易資料做為實證對象。實證中發現，加入平滑限制式與離差權重之線性規劃模型在評價歐式選擇權合理價格的效能最為優異。 / The thesis proposes a liner programming to recover the risk-neutral probability distribution of an underlying asset price from its associated market option prices, and we evaluate the fair prices of options via the resulting risk-neutral probability distribution. Assume that we face a series of European options with different exercise prices on the same maturity and underlying asset in this linear programming model. The criterion of choosing a risk-neutral probability distribution is minimizing the sum of total deviations subject to requiring that the fair prices of options are consistent with observed market option prices. Finally, we take the trading data of TXO as an empirical study. The empirical study indicates that the model with smooth constraints and weighted deviations has the best performance in pricing the rational price of European options.

近年來，國內金融問題層出不窮，陸續發生多起的金融弊案，皆有引發金融危機之可能。因此如何強化金融監理效能，建立金融市場之安定與秩序，實為金融革新的重要議題。 世界上多數國家的金融監理架構有單一監理機關與多數監理機關，甚至折衷於二者之方式。我國目前金融市場中因金融商品之區隔性降低、金融購併與金融集團之出現、效率監理原則、及因應WTO的加入考量，究竟如何調整金融監理架構以強化金融監理效能，實為當務之急。因此，政府希冀成立金融監督管理委員會，以有效整合金融發展政策及監理事權，全面加速金融現代化工程，因應未來國際金融競爭趨勢。 而本文，以「論金融統合監理之架構」為題，試圖先對我國現行金融監理架構做一剖析；其次針對單一監理架構—以英國金融服務管理局（Financial Service Authority）、澳洲金融監理總署（Australian Prudential Regulation Authority）、韓國金融監理局（Financial Service Supervision）為介紹；在其次亦就多數監理架構為論述—以美國的金融監理架構為題；繼而對於我國未來金融監理架構—以現行的行政院金融監督管理委員會組織法草案為介紹；最後做一評析與建議。 / In the last decade, Taiwan has experienced several financial institutions scandals and a local financial crisis has almost emerged. Under such a circumstance, it is essential for the Government to undertake regulatory reform in order to enhance the regulatory efficiency and reinstate the social confidence toward the financial markets. To cope with the entrance into WTO, the trend of financial liberalization, the emergence of financial conglomerates, it seems crucial for Taiwan to reconstruct the regulatory framework to promote the regulatory effectiveness and efficiency. Under such a scenario, the Government intends to establish a new regulatory agency, i.e. the Financial Regulatory Committee, to regulate financial institutions in a consolidated approach. The main theme of this paper focuses on the issue of the consolidation in financial regulatory structure. In the first place, the current financial regulatory mechanism in Taiwan is addressed and the potential inefficiency is identified. Secondly, some models of the single-regulator approach are examined, including the Financial Services Authority of UK, the Australian Prudential Regulatory Authority and the Financial Services Supervision of South Korea. On the other hand, the US model, the most significant one in the multiple-regulator approach, is also envisaged in the third place. Fourthly, the draft of Financial Regulatory Committee Bill of Taiwan is examined and the potential failures therein are explored. As possible contribution to the financial regulatory reform in Taiwan, some conclusive remarks and suggestions are submitted in the final place.