考慮股票股利之認購權證評價法

Abstract

傳統的B-S模型是假設選擇權至到期日時，中間並無發放股利。後來文獻修改其模式來評價至到期日時，有發放現金股利。本文將其延伸應用至到期日時，有發放股票股利，乃因臺灣股票市場盛行發放股票股利。而現行臺灣的認購權證在除權時引用B-S模型的算法，理論上是錯誤的，因為它並未符合B-S模型之前題假設。本文亦考慮至到期日有發放股票股利之認購權證是否應提早執行，並推導出提早執行之條件。 本論文亦對臺灣認購權證市場作一實證探討，證券商發行認購權證給較大的報酬率波動值，不論以權證發行日其相對的股票標的物之前30、90、180和360天之歷史資料計算之。另外，在權證發行前30天及發行後30天，對其相對的股票標的物之報酬率和波動值並無顯著差異。

In this thesis, the Black-Scholes option pricing model is modified to derive the Taiwan's warrant valuation with the stock dividend of underlying stock during the life of the warrant. The condition to be early exercised only at a time immediately before the stock goes ex-dividend is derived. Moreover, the relationship between call value and exercise value is not a linear function is described graphically. In addition, the empirical study on the Taiwan's warrant is investigated. The results show that the volatility given by the security broker is too large when the warrant is issued. Furthermore, the warrant effect to the underlying stock is examined. The results show that the average return and volatility of underlying stock before 30 days of the warrant issued is not significantly different from the one of the underlying stock after 30 days.