台指選擇權之三項式評價應用

TRINOMIAL PRICING APPLICATION ON TAIWAN INDEX OPTIONS

林志信(JHY-SHIN LIN)

指導教授 ： 李賢哲

大同大學/經營設計學院/事業經營學系所/碩士(2006年)

摘要

台指選擇權成交量於2004年並躍居全球第四，在今年10月9日成交口數達70萬口，再創歷史新高，可知大眾對此金融商品的運用程度。
本研究係以2003年及2004年臺灣加權股價指數為基準，建構三項評價模式，來模擬台指指數選擇權合理價位，經以EXCEL建構經三項式模型並求出理論價格，依此理論價格所作決策，在台指選擇權買權方面：在推出一、二、四週均能呈現獲利。另與2004年葉淵淜二項式評價模型相比較，僅在2004年1月5日推出2004年6月17日到期之決策建議不同。在台指選擇權賣權方面：三項式評價模型與二項式評價模型所得出理論價格所作決策均相同，除在推出一週時呈現虧損外，餘二、四週呈現獲利。在賣權模擬結果未若買權模擬結果精準，推估原因有二，一為賣權成交量未如買權熱絡，進而影響成交價。二為在選擇權賣權交易，投資者未如買權熟悉，亦可能影響成交價。
本研究的結果發現，三項式評價模型在股價波動上為上漲、下跌及持平有此三種變化，與二項式評價模型在股價波動上僅為上漲、下跌二種變化下，得出理論價格所作投資決策建議比較，兩者均具投資決策參考價值，整體而言三項式評價模型其獲利情形略優於二項式評價模型。

關鍵字

台指選擇權，三項式評價模型，二項式評價模型

並列摘要

The trading volume of TXO in 2004 reached fourth place in the world. In October 9 of this year, the transaction volume even reached 700,000 lots, which was an historic high. These give us an impression of the massive use of derivatives by the investing public.
This study is based on the TXO in 2003 and 2004 for building up the Trinomial Option Pricing Model for simulating the fair price of TXO. EXCEL is used for mapping out the theoretical prices basing on which decision will be made. For TXO call options: profits for the one, two and four week after the launch into market. In comparing the Binomial Model proposed by Ye Yuan-Peng in 2004, the only variation is the issue release on January 1 2004 with expiry date on June 17 2004. For TXO put option: the theoretical prices from the Trinomial Option Pricing Model and the Binomial Pricing Model are the same. In the first week after the launch, loss resulted, but profit followed in the second and fourth week. The simulation result of put option is not as accurate as the simulation result of the call option. There are two possible reasons. First of all, the trade volume of put options falls behind that of call options. Secondly, in picking up put options, investors are not as familiar with the products as those with call options. This may affect the bid price.
The findings from this study indicated that the Trinomial Option Pricing Model demonstrated three types of stock price movements, “up”, “down” and “horizontal”. For the Binomial Option Pricing Model, there are only the “up” and “down” movements. The theoretical price deriving from the models is used by investors as reference for investment decision-making. Both are valuable to consult. In sum, the Trinomial Option Pricing Model indicated better profit position than the Binomial Option Pricing Model.

並列關鍵字

Binomial Pricing Model ； Trinomial Option Pricing Model ； TXO

參考文獻

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