台灣衍生性金融商品定價、避險與套利文獻回顧與展望

Review and Prospects of Taiwan Derivatives Research: Pricing, Hedging, and Arbitrage

本文針對國內衍生性金融商品定價與避險的研究文獻進行回顧與展望，回顧的文獻範圍是西元2000 年以後發表在TSSCI 的學術期刊。在定價文獻方面，就標的資產而言，國內文獻曾探討股票、外匯、商品、利率、氣候、不動產及信用衍生性金融商品的定價。就衍生性金融商品的種類而言，除了簡單的期貨與選擇權外，國內文獻也曾探討過交換合約、混合商品（如可轉換公司債）及奇異式選擇權（如亞式選擇權）等複雜商品的定價。在定價模型方面，曾被採用的模型包含：Black-Scholes 模型、跳躍擴散模型、隨機波動度模型、GARCH 模型及Levy 模型等。在定價方法上，除了推導封閉式解或解析近似解外，國內文獻還提出樹狀圖法、蒙地卡羅模擬法、快速傅立葉轉換及動態規劃法等方法來計算選擇權的價格。在避險與套利研究方面，所避險的風險因子包含個股、股價指數、商品、外匯及利率風險等，不同的衍生性金融商品之避險策略大相逕庭，但大部分避險策略的研究都集中在GARCH 相關計量模型的延伸與翻新。在套利策略的執行方面，國內的文獻涵蓋了市場間與跨市場之套利效率相關研究，以及當出現錯誤定價時，不同市場間市價調整至理論價格的速度及資訊傳遞的效率性等相關研究。

This paper reviews the existing literature for pricing and hedging derivatives in Taiwan. We focus on articles published in TSSCI journals after the year 2000. The underlying assets studied in Taiwan include equity, foreign currency, commodities, interest rate, real estate, weather, etc. The financial derivatives priced in Taiwan include futures, forward contract, standard options, swaps, hybrid products (such as convertible bonds), exotic options (e.g., Asian options), etc. The pricing models adopted include Black-Scholes model, jump diffusion model, stochastic volatility model, GARCH model, Levy model, etc. The prcing methods used contain lattice method, Monte Carlo simulation method, the fast Fourier method, dynamic programming, etc. Concerning the hedging and arbitrage studies in Taiwan, many risk factors are considered, e.g., equity, foreign currency, commodities, interest rate, etc. The hedging strategies studied mainly focus on proposing new or improved econometric models/methods. Finally, the arbitrage research covers the Intra- and Intermarket arbitrage strategies, information transmission efficiency, etc