由於臺灣認購權證市場近年來蓬勃發展，券商在發行認購權證時必須建構一個避險比例來鎖定發行成本，一般券商在進行Delta避險策略時，大多以廣為人知的Black and Scholes模型作為基礎，本文針對目前市場上交易最為熱絡的臺灣加權股價選擇權進行探討，認為Black and Scholes模型過度簡化的假設對於避險成本有著相當大的影響，並且引入Jarrow and Rudd模型作為比較基礎，結果顯示，使用Jarrow and Rudd模型可以讓Black and Scholes模型所導致的微笑曲線較為平坦，亦表示無論選擇權証在價內、外程度為何皆可以得到較穩定的避險成本，對券商在評估避險成本上有著較佳的結果。 In the recent years, the warrant market in Taiwan is highly developed. Securities firms have to construct a hedge ratio to lock their cost at issuing the warrants. In general, securities firms use the delta-hedging strategy basis on the Black and Scholes model which is broadly used to evaluate the option price. This paper discusses the Taiwan weighted stock option which is the warmest product in current market and mainly examines that the Black and Scholes model is overly simplified assumptions for the costs of hedging has a very big impact, and the introduction of the Jarrow and Rudd model as a basis for comparison. Empirical results show that calculating the volatility by the Jarrow and Rudd model will let the volatility smile become flatter than the Black and Scholes. In other words, Securities firms will get a stable hedging cost no matter the issuing warrant is in-the-money, at-the-money or out-of-the-money. That is a better result for issuing firms to evaluating the hedging cost.
