考慮信用風險之台灣認購權證評價

Pricing Taiwan Covered Warrants Subject to Credit Risk

江明憲(Min-Hsien Chiang) ； 蘇芳姬(Fang-Chi Su)

《中山管理評論》 13卷3期 (2005/09) Pp. 645-666

https://doi.org/10.6160/2005.09.04

摘要

本文主要以台灣集中市場商品中的單一型認購權證來實證二項式模式；除考慮標的物本身信用風險外，並將發行者本身之信用風險列入考慮，由於標的物財務風險價值不容易被交易與觀察，而發行者之風險評估是否存在，顯然其已隱含在權証價格中；尤其在面臨衰退的金融環境時，應審慎考慮發行券商之信用風險，並衡量與探討發行權証之券商其信用風險價格的變化與合理區間，期望能得到實際的隱含風險值權證之計價模型。

關鍵字

權證 ； 波動率 ； 價差 ； 信用風險 ； 二項式

並列摘要

This paper value the Taiwan Covered warrants using the Binominal European options pricing model. There are two kinds of credit risk, one is the underlying stock risk, the other is the default risk of issuing financial instruments. We always ignore the last, especially in the downturn financial markets. So, it's very important to measure the credit spread in the warrants market.

並列關鍵字

Binomial ； Price Different ； Volatility ； Credit Risk ； Warrants

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