本文嘗試放寬 Black-Scholes 模型中對股價分配所做的假設，並利用風險中立評價法的觀念，推導出另一具有封閉解的評價公式。不同於以往的是，本文並不採取以過去的股票價格來做為模型中參數估計的依據，而是直接使用認購權證的市場價格去估計模型參數，希冀從權證價格中淬取出投資人心中所認為的股價分配，並進一步做為預測以後權證價格的資訊。
經過本文分別採取個股型的認購權證--大華 01 與類股型的認購權證-寶來 02 做為實證的資料，以評估新模型與 Black-Scholes 模型的表現後發現新模型在認購權證價格的解釋與預測上均有優於 Black-Sholes 模型的表現；且以大華 01 與寶來 02 的標的股票而言，其機率分配應該不符合對數常態分配的假設，在右尾處有胖尾的現象；以及將新模型使用在類股型的認購權證比將其使用在個股型認購權證於認購權證的價格解釋與預測尚可獲得較大的改善。 / The study tries to release the stock price distribution in Black-Scholes model, and use the risk-neutral valuation technique to construct another pricing formula which also has closed form. Then we use the warrants' market price to estimate the parameters in order to recovering the information contained in warrant price about market participant's perceptions of the distribution of the underlying asset. We choose two warrants' data to gauge our model. One is cathay01, another is polaris 02. In the application to the warrant market, we find that the new formula has a better performance than the Black-Scholes model, and the price distributions of the two warrants' underlining assets are not log-normal distribution, they both have a flat right-tail. We also find that using the new formula in polaris02 can have a better improvement in interpretation or forecasting warrants' price than using in chthay01.
| Identifer | oai:union.ndltd.org:CHENGCHI/B2002001915 |
| Creators | 李文銓, Li, Wen-Chuan |
| 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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