本論文利用市場觀測的選擇權買價與賣價，將市場的交易行為描述為兩人零合賽局，其中參賽者為投資人與市場機制，分別建立雙方的最佳策略模型。假設標的資產到期日的價格為離散點且個數有限，當市場不存在套利機會，也就是投資人最佳策略時報償為零時，可利用賽局線性規劃模型導出隱含於市場價格的風險中立機率測度。此模型不須對標的資產價格的機率分配做任何假設，也不須計算波動度，就可利用資產價格的平賭性質，以還原的風險中立機率測度為選擇權作合理的定價。最後，以台指選擇權(TXO)為例，驗證本模型的評價能力，且再次證實資產價格的風險中立機率分佈與一般常假設的對數常態分佈有落差。

企業價值評估是企業管理和企業投資的熱門問題，半導體產業又是高科技發展的關鍵。所以本文就台灣半導體產業的兩個晶圓代工企業之價值評估問題進行對比討論，分別用實質選擇權與自由現金流折現模型來對台積電和聯電進行價值評估。分析中發現實質選擇權方法在評價中比較能充分考量到企業投資決策的彈性，卻對於企業在行業中的領先地位比較難把握；而自由現金流折現模型對於財務報表的數據十分敏感，關於增長率的估計比較難把握，從而使企業價值評估的波動性較大，所以可以綜合兩個方法來進行評價，則可以減少估計誤差。本文的後半部分主要是基於半導體的產業狀況，對台積電與聯電兩家晶圓代工企業的經營策略進行分析，得出科技企業的經營收益與對技術研發的投入呈正相關，也與管理層的理念與穩定性以及上下游產業鏈穩定性密切相關。 / Business Valuation is an important issue for business management or business investment. The semiconductor industry is also an important part for high-tech development. Therefore, this paper focuses on the valuation of two foundry companies in semiconductor industry in Taiwan. Respectively, this paper uses the real option and the discounted cash flow models to assess the values of TSMC and UMC. The analyses find that the real option approach can consider the flexibility of enterprise investment strategy better than the discounted cash flow approach, while it is difficult to grasp the leadership of the company in the industry. The data from the financial statements is too sensitive for the discounted cash flow approach, and the uncertainty about the growth of a company contributes the volatility of the business valuation; therefore, by considering both approaches can reduce the valuation errors. The other part of this paper is based on the semiconductor industry analysis. With the comparison of the corporate business strategies of TSMC and UMC, we find that the operating income of scientific and technological enterprises is positively correlated with business investment in R&D, meanwhile it is closely related to the concept and stability of the manager, as well as the stability of the upstream and downstream supply chain.

本篇論文使用馬可夫移轉變異數模型探討台指選擇權之買權的波動性。馬可夫移轉變異數模型將條件變異設定為可隨時間變動而改變，甚至移轉到不同區間上。樣本在不同區間下的平滑機率估計值有助於捕捉資料特性，實證結果顯示當樣本落在高波動率區間上時，會對應著重大事件的發生，例如2004年台灣319槍擊案、2006年全球股災、2008年金融海嘯等。當樣本落在低波動率區間上時，會對應著投資人傾向將台股指數的上漲或下跌視為超漲或超跌，而賦予台指選擇權之買權負的時間價值。 / This paper investigates the volatility of TAIEX Call Options using Markov-switching variance model. The Markov-switching variance model allows the conditional disturbances to change as time passes and even switch between different regimes. The estimation of smoothed probabilities under different regimes facilitates to capture the characteristics of data. The empirical result shows that the high volatility regime is related to extraordinary events, such as 319 shooting incident in 2004, the global stock market crash in 2006, and the Financial Crisis in 2008. When in low volatility regime, investors tend to treat rise or fall in TAIEX as overreactions and give TAIEX Call Options turning points of time values.

近年來，能源商品的價格隨著國際政治情勢、國際金融環境以及景氣循環的影響產生劇烈波動，基於避險的需求，衍生性商品交易量也逐漸增加。然而，在評價能源衍生性商品的過程中，即期價格動態模型的選擇對於訂價與避險的結果有著顯著的影響，如何選擇一個適當的動態模型以評價能源商品便成為本文研究的目標。在指數與股價選擇權的評價模型中，大多以Black and Scholes (1973)提出的選擇權評價模型作為基礎，但Black-Scholes模型是否適用於評價能源市場的選擇權價格卻是有待商榷。Schwartz (1997)提出以均數回歸模型 (Mean Reversion Model)描述能源即期價格，發現比Black-Scholes模型中所假設的即期價格動態模型更能描述能源市場即期價格的波動。本研究也考慮能源市場遇到重大事件而造成即期價格產生劇烈波動的情況，因此在模型中加入跳躍項以捕捉價格跳躍的現象。另外，能源商品的需求與季節變化有高度相關性，因此本文亦考量即期價格的變動會受到季節性的變動影響，在模型中加入季節性函數，以補捉季節性的價格變化。基於前述模型考量，本研究在各種描述能源商品即期價格特性的動態模型之下，推導各個模型的期貨選擇權定價公式，進一步測試各模型在金融風暴與非金融風暴期間的訂價誤差與避險誤差，以提供投資人或避險需求者於原油期貨選擇權模型選用上之參考。 / In recent years, the price of energy commodities has fluctuated with the international political situation and the international financial environment. For the sake of hedging demands, the trading volume of derivatives has been gradually increasing. In the process of valuation of energy derivatives, choices of the spot price dynamics model have a significant impact on pricing and hedging. Therefore, how to choose an appropriate dynamic model to evaluate the energy commodities has been main purpose of this study. Two main models are tested in this paper. One is the option pricing model supposed by Black and Scholes (1973), and another is the mean reversion model supposed by Schwartz (1997). This study also considered the volatility of the spot price in the energy market in case of major events, so the researcher adds the jump to explore the mean reversion model. In addition, the demand for energy commodities is highly correlated with seasonal variations. The vibration of spot price often affected by the seasonal variations is considered in the research. Therefore, the researchers also take the seasonal function into the research to capture the seasonal price changes. Based on considerations described above, the pricing formula for each model of futures option is evaluated in the research. The researcher further tests the pricing errors and hedging errors of each model during the financial crises and non-financial crises in order to provide the investors and hedging demanders with some suggestions about selecting oil futures option models.

本論文採用事件研究法，以2008到2012年間美國紐約證交所上市公司共計1423個購併案件為樣本進行實證，利用累積異常報酬(CAR)的統計檢定與複迴歸分析去探討主併公司在宣告購併時，股價反應是否會因為主併公司之執行長為創辦人而有所不同。投資人會因考量到代理人問題，對於創辦人執行長做出的購併決策較具信心而使股價上揚，亦或是認為創辦人反而容易被過去成功的思維和作法所牽制而做了錯誤的購併決策，為本文討論重心。 本研究結果共有三點，第一，創辦人執行長之主併宣告效果不顯著，但非創辦人執行長之主併宣告效果顯著為正，兩樣本間的差異則無顯著異於零。第二、由迴歸分析之結果可得知，創辦人是否為執行長之變數對於主併公司宣告效果具有顯著的影響，當執行長為創辦人時對股價之影響為負向。第三、將兩樣本分別做迴歸檢定並和總樣本之結果進行比較，發現主併公司之成立年數對創辦人執行長之宣告效果產生負影響，顯示出市場認為創辦人容易因過去的成功經驗而傾向維持既有策略，導致無法做出開創性之購併決策。此外，執行長持有的股票選擇權比率高低對於宣告效果有顯著的影響，當持有比率越高時宣告效果越好，此結果佐證股票選擇權能夠降低代理人問題、使股價有正向反應之論述。

我們使用一個新方法來評價美式或歐式的或有求償權，其受到本地利率和權益價值的影響。我們使用標的資產的遠期價格的樹狀圖，進而對或有求償權作定價。其中我們評價了美式與歐式的股票選擇權，以及利率期貨和利率期貨選擇權。 / We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options.

隨著台灣將近五十多年來的經濟成果展現，企業界發展蓬勃興盛，加上全球投資理財風氣鼎盛，資金回流到亞洲新興地區，也造成台灣個人財富的迅速累積。除了外商私人銀行搶盡時機、技術優勢，做台灣富人的生意外，近幾年來，台灣本土金融業者也競相推出財富管理業務，期望掌握潮流、開拓先機。 而這些富人們對銀行財富管理的要求是：“投資理財的「客觀建議」、提供跨越世代的理財諮詢顧問，讓財富能穩定成長、夠世代傳承”。因此，銀行財富管理方案最重要的一環，是因應客戶理財目標要求，幫助其對資產進行妥適配置，以實踐穩定均衡的績效。而所謂績效的均衡，意謂回報穩健加上不確定性小，換句話說，即是在相同獲利水準表現之下，風險較低。 隨著二十一世紀與時俱進的新金融商品與財務工程發展，本報告將探索在要求兼顧財富穩定成長與風險最小的原則下，有關選擇權系列的新金融商品，如何創造出最佳資產搭配效果或改變投資組合損益曲線，提昇原有投資組合的報酬率，進行積極面的投資組合與防禦面的風險管理，有效增裕資產價值並防範減損資產損失，達成客戶”維持財富穩定成長、夠世代傳承”的要求。 其他廣泛的財富管理策劃方案，例如房地產投資，黃金白銀、藝術品蒐購等實體資產配置，或保險、信託、養老、遺產、節稅等理財規劃，都不屬於本報告研究範圍。

本研究主要探討高階經理人之選擇權與公司績效之關聯性，研究發現，公司發給高階經理人之選擇權價值與Tobin’s Q呈正向關係。為區分誘因調整（the incentive alignment perspective）與利益榨取（the rent extraction perspective）兩觀點，本研究將選擇權預測值分為經濟因素、公司治理與殘值三部分。研究結果顯示依據經濟因素所預測出之選擇權價值與Tobin’s Q呈正向關係，其符合誘因調整觀點，即發放選擇權可減少代理問題。而依公司治理所預測出之選擇權價值，則與Tobin’s Q 呈負向關係，此亦與利益榨取觀點相符，即當公司治理較差時，發給高階經理人之選擇權往往較股東最適程度為高。此外，本研究亦發現選擇權與Tobin’s Q有一非線性關係。 / This study examines the association between employee stock options (ESOs) and future firm performance (Tobin’s Q). The evidence shows that the value of ESOs granted to CEOs in the current and past five years are positively associated with Tobin’s Q. To test the incentive alignment perspective and the rent extraction perspective, this study predicts the value of ESOs granted to CEOs due to economic determinants, governance quality and residual value. I find that the predicted component of ESO grants due to economic determinants are positively related with Tobin’s Q, consistent with the incentive alignment perspective that ESOs are granted to reduce the agency problem. Further, the predicted component of ESO grants attributable to the governance factors are negatively associated with Tobin’s Q, indicating that for firms with poor governance, the actual level of incentives executives receive may go well beyond the optimal level for shareholders. The negative association is consistent with the rent extraction perspective. Moreover, this study also finds a non-linear association between the Tobin’s Q and the ESO grant values.

本研究主要目標在探討有關員工認股選擇權租稅政策訊息之發布，是否對國內發行員工認股權憑證之上市及上櫃公司— 資訊電子業的股票報酬造成異常影響。在五個事件期間中，以第一、二及第五個事件期（即員工認股選擇權初步比照員工分紅入股依面額課徵所得稅、財政部初步擬定員工執行認股權時，須以執行價與當初認購價格間的價差，核課所得稅以及財政部在民國93年4月30日發布員工認股權證課稅行政命令，依照財政部當初的規劃，在執行日課徵員工認股權證的所得稅之兩事件期）中發現以面額或價差課稅之消息初步規劃和發布，確實對市場造成負向異常報酬。而有利員工之認股選擇權租稅政策消息發布（即財政部未對課稅政策做出最後決定）時，市場對資訊電子業股價產生正向累積異常報酬。 另外，研究亦發現，不利員工之員工認股選擇權課稅行政命令發布之特定事件時期，發行比例愈高及發行員工認股權之公司，過去研究發展支出愈高者，將產生較小之負向累積異常報酬。 相較於員工分紅入股制度，員工認股選擇權之激勵效果更能提供長期之誘因，但單就對工之課稅制度而言，收到的似乎是相對不利之懲罰效果。 / In this thesis, event study methodology is employed to examine the electronics industry’s stock market reaction to the announcement of tax policy changes of employee stock option. Market model and Ordinary Least Square (OLS) are adopted to estimate abcdrmal returns (AR) and accumulated abcdrmal returns (CAR) during event periods. A related issue also examined is the relation between the ratio of employee’s stock options and the CAR. Specifically, the effects of five events are examined. The first、second and fifth event (when Minister of Finance proposed to tax employee Stock options based on their par value. The second is when the Ministry of Finance announced that employee stock options would be taxed at the difference between the market price employee execute the option and the execute price．The fifth event is when Minister of Finance indeed announced an administrative decree) really show up the negative CAR. Findings concluded by the thesis are as follows: 1. When the Finance Minister proposed to tax employee stock options based on their par value or at the difference between the market price employee execute the option and the execute price, electronics companies on average had negative CAR. 2. During the fifth event period, companies with higher ratio of employee stock options and R＆D expenses had lower negative CAR than those with lower ratio of employee stock options and R＆D expenses.

由選擇權價格反推求算出的隱含波動率，可表示市場對未來波動的預期，亦間接反映出該選擇權的價值高低，成為投資者在制定交易策略時重要的依據。經由實證研究發現，CBOE VXO及VIX都可反應投資人的恐慌心理，因此能作為標的走勢的逆向指標，所以又稱為「投資人恐慌指標」。而台指市場並沒有波動率的指標可供投資人參考，所以本研究的目的，是依照臺灣指數選擇權之市場特性，修改多種隱含波動率的估計方法。依照下列比較基準，找出適合台指市場的波動率指數。 1. 報酬反向指標： 分析波動率指數變動與市場報酬之間的關係，觀察「反向非對稱變動行為」，以Vega指數的表現最明顯。 2. 週期行為： 所有波動率指數，在日內行為的偏離幅度都很有限，且週內行為並沒有異常的週期性。分析到期日效果，只有ATM指數在到期日前二日及交易當日顯著下降，顯示台指報酬在到期日前並沒有大幅的異常波動。 3. 預測能力： 比較各波動指數的預測能力優劣。使用避免假性迴歸的模型、每分鐘報價來計算實際波動率，以VIX指數的解釋能力最佳。 綜觀以上分析結果，發現無法找出單一最佳的台指波動率指標。所以若需要最佳的「投資人恐慌指標」，必須使用Vega指數；若想做預測分析，則必須使用VIX指數。