| Summary: | 碩士 === 靜宜大學 === 會計學系研究所 === 91 === ABSTRACT
This paper is to examine how well is TXO priced using the Binomial Option Pricing Model introduced by Cox, Ross and Rubinstein (1979). We also like to demonstrate how TXO was applied in transaction strategy. The results may have some referential value for issuing institutions and investors.
There are three assumptions in this study. First, the index option market is a perfect competition market. Second, there is only a riskless interest rate in the market. Third, the investors are assumed to pursue their maximum wealth.
This study adopts two stages in implementing empirical analysis. The first step is to estimate the theoretical value of index option under both American and European style by using BOPM method. In the second stage, we compare and discuss the difference between theoretical values and market prices.
The results show that in call options the Cox valuation model can provide better strategies for investors. However, there is an ambiguous situation in put options. Furthermore, the unit root test did not satisfy the hypothesis of weak-form efficient market.
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