上限型認購權證評價之實證研究-蒙地卡羅法之應用

Abstract

本文選取在台灣發行之五檔上限型的認購權證假設其標的資產報酬率服從GARCH(1,1)模型，利用樣本內的資料模擬GARCH(1,1)模型的參數，並利用估計出來的參數模擬標的資產樣本外的價格以及上限型認購權證的理論價格。 欲比較所模擬的權證理論價格及權證實際的價格，本文加入了控制變異法來進行模型的比較，以Black-Scholes模型的模擬價格當作控制變異買權，然後模擬出控制變異法的理論價格。並計算上限型認購權證理論價格、控制變異法所模擬的價格與實際定價的誤差。

This paper use five up and out warrants that have been issued in Taiwan, assuming the returns of their underlying assets follow the generalized autoregressive conditional heteroskedastic(GARCH) process. We can estimate their parameters by in-sample data, and simulate the price of underlying assets and also the theoretical price of the up and out warrants. In order to compare the theoretical price and real price of the warrants, this paper use control variate method to compare the GARCH Model and BS Model. The theoretical price of BS Model is used as control variate call option. Furthermore, we calculate percent error of the theoretical price of warrants、the simulated price of control variate method with the real price of warrants.