[[alternative]]A STUDY ON PRICING AND HEDGING PERFORMANCE OF TAIWAN WARRANTS

[[abstract]] 本研究以上市一般型認購權證作為研究樣本，並以20支大型權值股的上市公司為標的物，研究期間為2004年2月19日至2006年8月21日，共3,336筆日資料。本研究除運用Black-Scholes(1973)選擇權定價模型外，並將交易成本加入股價變異數以求算認購權證的理論價格，探討理論價格與實際市價的偏離程度。此外，本研究以三種避險策略(定時避險法、避險帶避險法、不足量避險法)進行實證分析。研究結果發現：(1)Black-Scholes(1973)模型交易成本假設的放寬確實可以降低價格誤差。但在進行實際避險時，模型假設的放寬無助於增加其避險績效；(2)避險策略以不足量避險法為最佳，其原因為在於不足量避險法不但減少了避險次數外，亦同時在進行避險時只避險至落後Delta中立的一固定比例，故使其避險績效提高。[[abstract]] This study applies Black-Scholes options pricing model(1973) with the considerations of implied volatility and transaction cost to construct a suitable estimation model of Taiwan warrants. Moreover, we compare the performances of three hedging strategies: The Time Discipline, The Heding Bandwidth Discipline and The Lag Discipline. The results show that bring into transcation cost can reduce the bias between the theorecical price and market price, and therefore the Boyle-Vorst(1992) model is the optimum option model for evaluating the Taiwan warrwnts. The release of model assumption would not improve the hedging performance. However, a better hedging strategy which is the Lag Discipline is helpful