在歷經金融海嘯與歐債危機後興起的市場,衍生性市場已愈形重要,如何規避風險以及風險的衡量便是個值得關注的議題。對於評估標的物未來報酬率的不確定性,通常以波動率來表示。過去研究顯示,隱含波動率已經獲得廣泛的支持,認為對於預測未來的波動,隱含波動率優於歷史波動率,故本研究將利用隱含波動率,比較台指選擇權與以加權指數為標的之權證,兩者之間的定價是否有不同的現象。本研究採用的樣本期間為2009年9月至2013年12月,共52個月,有兩組變數,分別為台灣加權股價指數選擇權與以加權指數為標的之權證,研究樣本皆取自台灣經濟新報(TEJ)資料庫。 研究方法主要遵循Black-Scholes-Merton模型(1973),並且以獨立樣本T檢定分析研究假說。本研究結果顯示,台指選擇權與加權指數權證,兩者定價不相同,且加權指數權證之定價高於台指選擇權之定價。
This study employs the implied volatility to investigate the pricing efficiency of the TAIEX put options and warrants markets. Their implied volatility should be statistically indifferent if the markets are efficient. The Newton-Raphson method is applied to calculate the implied volatility in the Black-Scholes-Merton option pricing model. And, the data used in the study are 51 pairs of time series data of the TAIEX put options and warrants from September 2009 to 2013. The independent sample t-tests are used to investigate the equality. The empirical results show that the implied volatility of the put warrants is significantly higher than that of the put options.