Black-Scholes評價模式在台灣認購權證市場之實證

An Empirical Study of Black-Scholes Pricing Model on Warrants in the Taiwan Stock Exchange

10.6656/MR.1999.18.3.CHI.83

李怡宗(Yi-Tsung Lee)；劉玉珍(Yu-Jane Lin)；李健瑋(Jien-Wei Lee)

認購權證 ； Black-Scholes模式 ； Warrant ； Black-Scholes' Pricing Model

管理評論

18卷3期（1999 / 09 / 01）

83 - 104

繁體中文

台灣本土的認購權證則於民國86年9月開始掛牌交易，開啓了金融創新的新紀元。在上述的金融背景之下，本研究以台灣的認購權證市場為研究對象，以市場上常用的Black-Scholes模式來計算理論價，並以統計方法檢定認購權證市價與理論價間是否存在差異，且進一步研究可能造成差異的原因。本研究發現現行市場中認購權證市價顯著高於理論價，且以較早發行的幾支認購權證市價高於理論價的比例較高，可能的原因除了是券商的避險成本外，認購權證的稀薄交易量與Black-Scholes模式對於標準差為常數的假設不合理，均可能是造成市價與理論價差異的主因。

Warrants were introduced in Sept. 1997 in the Taiwan stock market. There exists the deviation between market price and theoretical price based on Black-Scholes pricing model. The purpose of this paper is to examine the factors of the disparity between market prices of warrants and their theoretical prices based on Black-Scholes model. The major finding of this paper is that market prices of warrants are significantly higher than their theoretical prices, especially for the warrants that issued earlier. The plausible reasons for the phonemoners are: (1) hedge costs of the issuers, (2) thin trading, (3) constant volatility assumption may be unrealistic.

1. Black, F.(1975).Fact and Fantasy in the Use of Options II.Financial Analysts Journal,31
2. Black, F.,Scholes, M. S.(1973).The Pricing of Options and Corporate Liabilities.Journal of Political Economy,81(3)
3. Choi, J. Y.,Shastri, K.(1989).Bid-Ask and Volatility Estimates: The Implication for Option Pricing.Journal of Banking and Finance,13
4. Cox, J. C.,Ross, S. A.,Rubinstein, M.(1979).Option Pricing: A Simplified Approach.Journal of Financial Economics,7(3)
5. Cox, John,Rubinstein, Mark(1985).Option Markets.Prentice-Hall.
6. Galai, D.(1977).Tests of market efficiency of the Chicago Board Options Exchange.Journal of Business,50
7. Geske, R.(1979).A Note on an Analytical Valuation formula for Unprotected American Call Options on Stocks with Known Dividends.Journal of Financial Economics,7
8. Geske, R.,Roll, R.(1984).On valuing American call options with the Black-Scholes European Formula.The Journal of Finance,39(2)
9. Geske, R.,Roll, R.,Shastri, K.(1983).Over-the-counter Option Market Dividend Protection and 'Bias' in the Black-Scholes Model: A Note.Journal of Finance,38
10. Gultekin, N. B.,Rogalski, R. J.,Tinic, S. M.(1982).Option Pricing Model Estimates: Some Empirical Results.Financial Management,11
11. Hull, J. C.(1993).Options, Futures, and Other Derivative Securities.Prentice-Hall.
12. Karpoff, J. M.(1987).The Relation Between Price Changes and Trading Volume: A Survey.Journal of Financial and Quantitative Analysis,22(1)
13. Kremer, J.,Ronefeldt, R.(1993).Warrant Pricing: Jump Diffusion v.s. Black-Scholes.Journal of Finance and Quantitative Analysis,28
14. Latane, H. A.,Rendleman, Jr. R.(1976).Standard Deviation of Stock Price Ratios Implied in Option Prices.Journal of Finance,31
15. Lauterbach, B.,Schultz, P.(1990).Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives.Journal of Finance,45
16. Long, D. M.,Officer, D. T.(1997).The Relation between Option Mispricing and Volume in the Black-Scholes Option Model.The Journal of Financial Research,20
17. MacBeth, J. D.,Merville, L.(1979).An Empirical Examination of the Black-Scholes Call Option Pricing Model.Journal of Finance,34
18. MacBeth, J.,Merville, L.(1980).Tests of the Black-Scholes and Cox Call Option Valuation Models.Journal of Finance,35
19. Merton, R. C.(1976).Option Pricing When Underlying Stock Returns Are Discontinuous.Journal of Financial Economics,3
20. Merton, R. C.(1973).Theory of Rational Option Pricing.Bell Journal of Economics and Management Science,4(1)
21. Rubinstein, M.(1983).Displaced Diffusion Option Pricing.Journal of Finance,3
22. Sterk, W. E.(1983).Comparative Performance of the Black-Scholes and Roll-Geske-Whaley Option Pricing Models.Journal of Financial and Quantitative Analysis,18
23. Tauchen, G.,Pitts, M.(1983).The Price Variability-Volume Relationship on Speculative Markets.Econometrica,51
24. Whaley, R.(1982).Valuation American Call Option On Dividend-Pricing Stocks: Empirical Test.Journal of Financial Economics,10
25. Whaley, R.(1981).On the Valuation of American Call Option on Stock with Known Dividends.Journal of Financial Economics,9
26. 大華證券股份有限公司(1997)。發行認購（售）權證之風險管理作法及系統操作示。
27. 黃欽宏(1997)。指數認股權證評價模式之比較。國立中正大學財務金融研究所。

1. 許溪南、何怡滿(2006)。台灣重設型認購權證模式價與市價差異之實證研究。交大管理學報，26(1)，87-117。
2. 黃騰進、周恆志、杜玉振(2006)。障礙型權證的價格行為與波動性加成之實證研究。文大商管學報，11(2)，33-56。
3. 魏慧珊、歐仁和、黃志偉、張傳章(2016)。臺灣財務領域研究之回顧與展望。管理學報，33(1)，105-137。
4. 楊朝成、陳勝源、周麗娟(2003)。考量信用風險下備兑型認購權證之評價。臺大管理論叢，14(1)，263-289。
5. 詹場,陳業寧,柯文乾(2018)。臺灣權證券商的損益分析。證券市場發展季刊，30(2)，103-149。
6. 詹場,黃尚傑,陳業寧,柯文乾(2020)。臺灣權證市場的贏家與輸家。臺大管理論叢，30(1)，163-200。
7. 周恆志、巫春州(2006)。Edgeworth GARCH選擇權演算法的實證應用。證券市場發展季刊，17(4)，155-190。
8. (2002)。認購權證價格行為之實證研究An Empirical Study of the Price Behavior of Warrants: An Application of GARCH Model。管理學報，19(4)，759-779。
9. (2003)。不同波動模型對認購權證訂價績效衡量之研究—以機電類股為例。朝陽商管評論，2(2)，25-50。