在台灣股市的體制下檢測選擇權評價模型

Abstract

本研究在探討過台灣股市的相關文獻之後,選定漲跌停限制為介入檢視國 外選擇權評價模式的變項o並在理論上,檢視Black-Scholes模型及二項式 模型在台灣市場上的可行性o本研究的結果顯示,雖然台灣股市對股價有每 日漲跌幅的限制,但並不會因此影響Black-Scholes的選擇權評價模式o This study provides an examination on the applicability of the nobel Black-Scholes option pricing model as it is used in the environment of Taiwan's stock market.As we have observed ,Taiwan's stock market is distinct in its regulation on the limit of daily stock price movement.This study has shown that, the aspect of stock price limit will not affect the validity of the Black-Scholes option pricing model.