探討可降低權利金簡單權證之創新及評價

On Creating and Pricing Premium Reducible Simple Warrants

陳松男(Son-Nan Chen)

《風險管理學報》 3卷2期 (2001/11) Pp. 1-25

摘要

近來有不少券商相繼推出不同類型的認購權證，其中可降低權利金的權證尤其受到投資人的歡迎。本論文將詳細介紹幾種可降低權利金的簡單新權證，並以Martingale Pricing的方法推導出各種新權證的封閉解評價模型，同時推導出相關 的避險參數。本論文的方法可進一步應用於其他可降低權利金的新權證創新，不但投資人受益，發行券商也因新權證評價模型的簡單化以及類似Black-Scholes 避險操作的簡易性，而能獲得更佳的風險控管，降低避險損失，提升利潤。

關鍵字

減縮部分權利金的權證 ； 上限型權證 ； 局部支付型權證 ； 抵付型權證

並列摘要

Several security firms have recently issued a variety of new warrants. Among them, reduced-premium warrants are highly welcomed by investors. In this paper, we introduce in details several lower-premium new warrants. Each new warrant can be priced by a closed-form solution derived from martingale pricing method, and the related hedge parameters are also derived. The martingale pricing method can also be applied to other related new lower-premium warrants. The investors will be benefited from the availability of lower-premium warrants in the market. In addition, the issuing security firms can also be benefited from the new warrants' closed-form pricing models. The hedge parameters are as simple as those of the Black-Scholes model. As a result, the issuing firms can enjoy better risk control and hence lowering hedging losses and raising profits.

並列關鍵字

Call Options With Proportional Payoff ； Capped Calls ； Payoff Segment Calls ； Deductible Calls