Black-Scholes評價模式在台灣認購權證市場之實證

An Empirical Study of Black-Scholes Pricing Model on Warrants in the Taiwan Stock Exchange

李怡宗(Yi-Tsung Lee) ； 劉玉珍(Yu-Jane Lin) ； 李健瑋(Jien-Wei Lee)

《管理評論》 18卷3期 (1999/09) Pp. 83-104

https://doi.org/10.6656/MR.1999.18.3.CHI.83

摘要

台灣本土的認購權證則於民國86年9月開始掛牌交易，開啓了金融創新的新紀元。在上述的金融背景之下，本研究以台灣的認購權證市場為研究對象，以市場上常用的Black-Scholes模式來計算理論價，並以統計方法檢定認購權證市價與理論價間是否存在差異，且進一步研究可能造成差異的原因。本研究發現現行市場中認購權證市價顯著高於理論價，且以較早發行的幾支認購權證市價高於理論價的比例較高，可能的原因除了是券商的避險成本外，認購權證的稀薄交易量與Black-Scholes模式對於標準差為常數的假設不合理，均可能是造成市價與理論價差異的主因。

關鍵字

認購權證 ； Black-Scholes模式

並列摘要

Warrants were introduced in Sept. 1997 in the Taiwan stock market. There exists the deviation between market price and theoretical price based on Black-Scholes pricing model. The purpose of this paper is to examine the factors of the disparity between market prices of warrants and their theoretical prices based on Black-Scholes model. The major finding of this paper is that market prices of warrants are significantly higher than their theoretical prices, especially for the warrants that issued earlier. The plausible reasons for the phonemoners are: (1) hedge costs of the issuers, (2) thin trading, (3) constant volatility assumption may be unrealistic.

並列關鍵字

Warrant ； Black-Scholes' Pricing Model

參考文獻

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