本文在不完美財務市場(Imperfect Markets)的假設下，探討採取不同的選擇權的避險策略與對選擇權評價模式的影響，並分析最適避險策略。在這裡所提到的不完美市場指的是無法連續時點的交易、交易時產生交易成本及異質訊息交易者。結果在不完美因素的考量下，其避險策略將不再是完美避險(Delta Hedge)，應適當考慮避險策略。不同於Leland(1985)的分析方式，在此透過不同的避險策略分析去探討比較不完美市場產生的差異，分別以最小變異數避險分析及平均數--變異數避險分析，探討不完美市場對選擇權評價的影響。

不完美市場下選擇權的評價將受其他參數的影響，例如：股票預期報酬及個人風險偏好的影響，本文則嘗試在模型中解釋這兩項因子的角色。 Figlewski(1989a)透過模擬分析探討不完美財務市場對選擇權的影響，並提出不完美市場選擇權的評價影響應考慮對股票預期報酬及個人風險偏好的影響，然而並沒有提出有關的模擬分析及模型的探討。

當採取不同的避險策略考量會有很大的差異，若市場不完美僅是在無法連續性避險則產生的影響相對較小，在最小變異數分析下僅修正相關參數即可，若考量平均數變異數分析將產生買賣價差。但若不完美的因素尚包括交易成本，將明顯影響結果，此時將不再可任意時點避險交易，因為任何交易皆存在交易成本，無限次的交易將使得交易成本趨近無限大。

最後得到調整避險比例時點，結果發現與Whalley 和Wilmott(1997)所推導避險帶為一致的，但在本文模型中將更有彈性的運用，並在數理分析簡化及及計算時間上較為省時的處理。

目次

頁次

第一章 緒論

第一節 前言………………………………………………………………1

第二節 本文內容與架構……………………….……..………………….4

第二章 相關文獻

第一節 完美財務市場……………………………………….……..…….5

第二節 不完美財務市場………………………………………....………7

第三節 不完美避險…………………………………………..….………10

第三章 基本模型分析

第一節 前言…………………..…….………………………………….…11

第二節 市場不完美……………………………………………….…..….11

第三節 最小變異數避險策略……..…………………….……….………14

第四節 平均數變異數避險策略…..………………………………..……20

第五節 極限的情況………………..……………………………….…….26

第四章 交易成本

第一節 前言………………………..……………………………….……29

第二節 最小變異數分析法………….………………………………..…30

第三節 平均數變異數分析法………….……………………..…………33

第四節 極限的情況………………………………………………………36

第五章 不對稱訊息分析

第一節 前言……..………………………………………………..………38

第二節 異質訊息的形成…………………………………………………38

第三節 異質訊息的評價…………………………………………………42

第六章 最適避險區間

第一節 前言………………………………………………………………49

第二節 最佳避險區間……………………………………………………50

第三節 本章小結…………………………………………………………58

第七章 結論與建議……………………………………………………………59

數學附錄

附錄A…………………………………………………………………………60

附錄B…………………………………………………………………………61

附錄C…………………………………………………………………………66

附錄D…………………………………………………………………………68

附錄E……………………………………………………………………….…70

附錄F………………………………………………………………………….71

附錄G…………………………………………………………………………73

附錄H…………………………………………………………………………74

附錄I………………………………………………………………….…….…75

參考文獻

一、國內文獻…………………………………………………………………79

二、國外文獻..…………………………………………………………..……79

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