教師資料查詢 | 類別: 研究報告 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:美式認購權證在含交易成本及股利之訂價
學年87
學期1
出版(發表)日期1999/01/01
作品名稱美式認購權證在含交易成本及股利之訂價
作品名稱(其他語言)Pricing American Warrants with Transaction Costs and Dividends-A Taiwanese Case
著者林蒼祥; 鍾惠民
單位淡江大學財務金融學系
描述計畫編號NSC88-2416-H032-005;研究期間199808~199907;研究經費317,000
委託單位行政院國家科學委員會
摘要台灣證券交易所的認購權證因履約價格隨股利調整,可證明其最佳履約時間為到期日,所以我們以四個歐式買權的模式來訂價,並比較其優劣。這些模式將交易成本及間斷調整複製部位的特性合入未修正波動性中處理使成為修正後波動性。除了用隱含波動性作為未修正之波動性,因台灣股價有漲跌幅的限制,我們亦採用Chiang and Wei(1995)的論點,用GMM法來估計未修正之波動性,並比較兩種未修正波動性在四個買權模型中之定價優劣。
The covered call warrants traded in Taiwan Stock Exchange are protection-style call options. Their strike prices are reduced by the paid dividends at ex-dividend dates, and it can be proven to be optimally exercised at maturity. We, therefore, price those warrants with four different kinds of European call-option valuation models, and we compare their valuation performance as well. The proportional transaction costs and the characteristics of discreted rebalancing duplication portfolio are incorporated with un-adjusted volatilities as the adjusted volatilities. In addition to using implied volatility as un-adjusted volatility, we also bring GMM-estimated volatility into those models since there are daily price limits of stock prices change into the two mentioned unadjusted volatilities are taker into the four warrant valuation models, and we also compare the performance of the models.
關鍵字美式認購權證;認股權證;交易成本;股利;定價;台灣;American warrant;Warrant;Transaction cost;Dividend;Pricing;Taiwan
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