台灣認購權證評價模式之實證研究：運用跳躍－擴散選擇權評價模型

The Empirical Study on the Pricing Model of Taiwan Stock Market Related Call Warrants by Applying Jump-Diffusion Option Pricing Model

10.6985/TBFQ.200606.0081

吳明政(Ming-Cheng Wu)；王南喻(Nan-Yu Wang)

認購權證 ； 股價報酬率 ； 跳躍－擴散模型 ； Black-Scholes模型 ； warrant ； stock return ； jump-diffusion model ； Black-Scholes model

台灣金融財務季刊

7卷2期（2006 / 06 / 01）

81 - 100

繁體中文

針對國內認購權證進行評價的實證相關研究已有很多，其所應用之訂價模型大都探討股價報酬率經由擴散過程(Diffusion Process)所構成。有別於一般相關研究，本文則針對國內權證到期日具有較長的特性，認為在此存續期間內的股價變化路徑，存在著不連續之跳躍(Jump)現象的機會將會增加，因而採用Merton (1976)所提出的跳躍－擴散模型來評價認購權證。此研究方法在台股認購權證的評價應用上仍屬少見；其次，本文採用模型配適度衡量指標來進行不同模式間的比較，以檢視評價結果之正確性。 本文針對自民國86年8月20日台灣開始發行認購權證以來，直到94年6月30日為止之所有已發行的個股認購權證，以Black-Scholes及跳躍－擴散模型分別進行評價，並與實際數據作一比較分析。實證結果顯示，跳躍現象確實存在於認購權證之標的股票報酬率變動過程中，不宜忽略此跳躍之特性。因此，採用跳躍－擴散模型作為台灣認購權證的評價模式，確實優於傳統的Black-Scholes評價模型。

Many authors use diffusion process to describe the variation of stock return regarding warrant. Different from previous studies, this paper considers the longer maturity and jumped characteristics with the warrant, and adopts the jump-diffusion model developed by Merton (1976) to evaluate warrant. Moreover, this paper adopts several measurement indexes to compare different pricing models in order to promote the correctness. The empirical data used in this study includes all the individual warrant between August 20, 1997 and June 30, 2005. We compare the results of warrant with Black-Scholes model, jump-diffusion model and real data. The empirical results show that the jump characteristic exists in the underlying stock regarding warrant, and we shouldn't neglect the jump phenomenon. Consequently, in relation to the Taiwanese warrant, we should adopt the jump-diffusion model, which is indeed superior to traditional Black-Scholes model.

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