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.
| Identifer | oai:union.ndltd.org:CHENGCHI/B2002001908 |
| Creators | 謝文雄, Hsieh, Wen-Hsiung |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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