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.

自 1997 年 9 月起，證券商開始獲准發行認購權證，由於證券商發行認購權證的時機與選擇標的物之不當，造成許多投資人之虧損，而機構投資人也多採取觀望態度，加上主管機關對於發行者在法令及課稅上的限制，導致整個認購權證市場交易冷清，未能發揮認購權證應有的避險功能。而本文所研究之可調整型(Adjustable)認購權證，是屬於新型的認購權證，此產品可以在契約內容中規定，在認購權證發行之後，若標的物證券之價格在一定期限之內，標的股價跌破原股價的某一比例(h)，可以將履約價格(Strike Price)向下調整某一比例(l)，以避免造成認購權證在剛推出不久，就因為標的物價格大跌，而使得投資人蒙受損失。相較於一般的認購權證，「可調整型」認購權證可以造成投資人獲利機會的保障增加、發行者權利金收益增加，並且因此使得衍生性金融市場更加活絡，造成三贏的局面。 Cox, Ross and Rubinstein(1979)提出二項評價模式，其利用風險中立 ( Risk Neutral ) 的論點，以間斷的股價過程代替 Black-Scholes(1973) 模式所假設的連續股價隨機過程，本文研究之「可調整型」認購權證之評價模式，以二項評價模式為出發點，利用此模式在一些特定的限制條件之下，配合路徑決定型選擇權、界線選擇權之概念，對「可調整型」認購權證做出合理的評價，另外，本研究以 Matlab 程式語言，撰寫出「可調整型」認購權證的價格，並使用模擬(Simulation) 的方式，探討「可調整型」認購權證的特性及避險方式與效果，以期提供券商、一般企業及投資者最佳的避險及獲利管道，其主要結果如下： 1.在評價「可調整型」認購權證時，時間間隔(Time Step)愈大時，電腦計算的時間效率愈差，若 Time Step 大於 80 時，其價格差異性會低於百分之二。 2.h 與「可調整型」認購權證價格呈正向變動關係，l 與「可調整型」認購權證價格呈反向變動關係。本文條件之下，h 落於 0.6-0.8 之間、l 落於 0.4-0.6 之間，對於「可調整型」認購權證價格之影響最大。 3.「可調整型」認購權證與一般型認購權證的差價比例，隨波動率增加而增加。 4.隨波動率之增加，一般型認購權證之 vega 值有大於「可調整型」認購權證 vega 值的趨勢。 5.在利用 delta 避險策略之下，以獲利金額來看，波動率大之股票較適合發行「可調整型」認購權證，波動率小之股票較適合發行一般型認購權證。 因為「可調整型」認購權證目前在台灣並沒有實證資料，因此無法評估本文模型之價格與實際價格之誤差，未來若出現此新金融商品時，可以評估理論與實際之差異。本文中並未探討利率對於「可調整型」認購權證之影響，後續研究可以討論利率之變動對於此新型認購權證之影響。 / From September 1997,the SEC permits warrants listing in Taiwan's security market. Because of the improper issuing timing and inappropriate underlying assets, many investors get great loss in warrant investment. Besides, many other restrictions from the government make the warrants market more inactive, and then the warrants cannot proper the hedging market. Researching the strike price adjustable warrants is this thesis subject. This innovative warrant allows the strike price(K) adjusting to lK(0<l<1), when the price of underlying asset is lower than the barrier(hS). This article studies the pricing model and hedging strategies of adjustable warrants. The pricing of the adjustable warrants uses some option pricing formulae, like the binomial option pricing model、path-dependent options、barrier options. This article uses Matlab language to price the adjustable warrants, and then uses simulation method to discuss the characteristics and the hedging strategies of the adjustable warrants. Following are the results: 1.When pricing the adjustable warrants, the more time step we choice, the more computer pricing time we get. If the time step is more than 80, the price difference is less than 2%. 2.Toward adjustable warrants(AW) price, h has the positive effect and l has the negative effect. When 0.6<h<0.8 and 0.4<l<0.6 , the AW price has the most sensitivity. 3.As the volatility raising, the difference from AW price and plain vanilla warrant price will become greater. 4.As the volatility raising, the vega of plain vanilla warrant will become greater than the vega of AW. 5.Using the delta hedge, from the profit aspect, high volatility stock is suitable for AW and low volatility stock is suitable for plain vanilla warrant. Because there are no practical information of AW in Taiwan's warrant market, so we cannot evaluate the pricing error form our model. If this kind of product enters the market in the future, we can compare difference of AW between theoretical and empirical price.

近年來，台灣在經濟結構的巨幅轉型下，已喪失了原有比較優認股權證具 有類似選擇權的特性--以小博大及有限風險，因此對個人而言，是一項吸 引人的理財工具；而對公司而言，是籌措資金的重要管道之一。本研究的 目的在於： 1.深入探討各認股權證評價模式，並比較其間之異同。 2.以 國內上市公司為實例研討，並運用電腦模擬，藉以找出在何種情形之下， 較適合國內企業的評價模式。 3.建議投資人可選擇一適當的評價模式來 反映真實的認股權證價值，以進行套利的活動。 4.日後政府核淮發行附 認股權證公司債時，供政府有關單位及發行公司對認股權證評價之參考。 本研究第壹章為描述研究動機與目的，說明對認股權證的研究範圍，解釋 本研究的研究限制，並簡述本研究的章節安排情形。第貳章為文獻棎討的 部份，首先對認股權證及附認股權證債券的特性做一介紹，其次對選擇權 理論做一探討，再其次對認股權證的各個評價模式做一探討，最後對國內 外有關認股權證評價模式的實證部份做一檢視。第參章是研究設計的部份 ，本研究的研究架構在本章有詳盡的說明，包括所欲研究的評價模式、資 料的蒐集、研究樣本的簡介、研究中操作性名詞的定義、及所欲使用電腦 模擬的方法。第肆章是實證結果的整理、分析與解釋，用電腦模擬方法， 對個案公司進行實例研討，並對各個評價模式做敏感性分析。第伍章是結 論與建議，由第肆章的實證分析，找出最適合國內企業的評價模式，並據 以提出對主管機關、發行公司、投資人及後續研究的建議。

Made available in DSpace on 2016-04-26T20:22:18Z (GMT). No. of bitstreams: 1 Fernando Hideo Iochida Lacerda.pdf: 1457772 bytes, checksum: b9aecec24ea84eaf447c16136ce8b004 (MD5) Previous issue date: 2013-10-28 / The scope of the present work is to propose boundaries for the criminalization of our time, from an overview of the juridical value as an evolutionary acquisition. In this sense, the juridical value corresponds to the structural coupling between criminal law and criminal policy, being a product of evolutionary differentiation that operated between the legal and political systems. With that purpose, Niklas Luhmann s theory of systems was adopted as a conceptual assumption, as well as a view of time, considering that we live in a risk society, according to the notions of Ulrich Beck. Applying these scientific references, this thesis proposes a new discussion of the relationship between the Constitution, the juridical value, the criminal law, criminal procedure and criminal policy, defending the idea that it is a function of the legislature to identify the juridical value as a basis for creating criminal law, considering that all the process of penal intervention is positively limited by constitutional norms. The dissertation deals with the criminalization of our time: regarding criminal intervention as a product of politics - analyzing the (non) existence of constitutional warrants binding the production of non constitutional rules, from a vision of the Constitution as a threshold of criminal law, whose foundation would be the juridical value - or concerning the moment of criminal intervention as an operation of the legal system, from the (non) possibility of challenging the constitutional procedural safeguards aiming to adapt risk society's expectations. It is a search for foundations, limits and parameters for the penal system of our time: the minimum criminal law and criminal procedure, informed by constitutional principles / Escopo deste trabalho é a proposta de balizas para a criminalização de nosso tempo, a partir de uma visão do bem jurídico como aquisição evolutiva. Nesse sentido, o bem jurídico penal corresponde ao acoplamento estrutural entre o direito penal e a política criminal, produto da diferenciação evolutiva que se operou entre os sistemas jurídico e político. Para tanto, são adotados como pressupostos conceituais basilares a teoria dos sistemas de Niklas Luhmann e uma visão da sociedade de risco como o tempo em que vivemos, a partir de noções formuladas por Ulrich Beck. Empregando esses referentes científicos, a presente dissertação rediscute a relação entre Constituição, bem jurídico, direito penal, processual penal e política criminal, defendendo a ideia de que é função do legislador a identificação do bem jurídico como fundamento de normas penais incriminadoras, estando todo o processo de intervenção penal limitado positivamente pelas normas constitucionais. A dissertação trata da criminalização de nosso tempo: seja no momento da intervenção penal como produto político &#8213; analisando-se a (in)existência de mandados constitucionais que vinculariam a produção normativa infraconstitucional, a partir de uma visão da Constituição como limite do direito penal, cujo fundamento seria o bem jurídico &#8213;, quer no momento da intervenção penal como operação do sistema jurídico, a partir da (im)possibilidade de relativização das garantias processuais de natureza constitucional para adequação às expectativas da sociedade de risco. É uma busca por fundamentos, limites e parâmetros para o sistema penal de nosso tempo: do direito penal mínimo e do processo penal garantista, informados pelos princípios constitucionais