台灣上限型認購權證之評價與避險

台灣上限型認購權證之履約方式與國外上限型認購權證不同，因此兩者的評價與避險參數特性亦有所不同。本文旨在探討台式上限型認購權證的評價與避險。首先利用三項式法來評價台式上限型認購權證。其次，比較台灣上限型認購權證的理論價格與券商實際發行價格及標準型認購權證的理論價格的差距。最後，本文則探討台式上限型認購權證避險參數的特性。本文發現，台式上限型認購權證的價格與上限價格、標的物價格、標的物波動率及無風險利率呈現正向變化的關餘，而與履約價格呈現反向變化的關像。至於避險參數方面， Delta值和Gamma值都比標準型的值小，但當股價趨近於上限價時，Delta值有跳躍的情況發生，突然變成負；而 Gamma值也會有跳躍的情況發生，但突然變的很大；Vega值則是會隨著股價的增加而逐漸降低，且上限型的Vega值會較標準型的Vega值小。最後，券商對台式上限型認購權證的訂價比本文中的理論價格高出許多顯示市場並非有效率。

關鍵字

上限型認購權證；三元樹；評價；避險

並列摘要

Taiwanese cap warrants differ from foreign cap warrants in the way of exercise. Therefore, the valuation and hedging parameters of the two warrants are different. The purpose of this paper is to investigate the properties of valuation and hedging of the Taiwanese cap warrants. This paper employs the trinomial tree to valuate the warrants, and then compares the theoretical values with market prices of issuance. We find that the price of the Taiwanese cap warrant is positively correlated with the cap, current stock price, volatility of stock price, and risk-free interest rate, and is negatively correlated with the exercise price. As to the hedging parameters, delta and gamma are smaller than those of the standard warrants, other things being equal. However, as the stock price approaches to the cap price, delta will jump to negative value, but gamma will jump to large positive value. However, vega decreases as the stock price increases. Finally, the market prices of the Taiwanese cap warrants of the issuance are much higher than the theoretical values, indicating that the market for the Taiwanese cap warrants is inefficient.