| Summary: | 碩士 === 淡江大學 === 國際貿易學系 === 92 === The purpose of this paper is to analyze the necessity of the existence of current call warrant market in Taiwan by constructing a call warrant game model which is a dynamic game of complete information. First, we construct a game model of the call warrant on the basis of the purchase purposes of the investors. Then, we use Monte Carlo simulation method ( Boyle，1977 )and Black-Scholes ( 1973 ) pricing model to simulate different stock price distribution patterns and use the backward induction method which is the way of solving the dynamic game of complete information to find out the optimal hedge strategies of the security companies and the financial institutions which issue the call warrants and to find out the optimal purchase strategies of the investors. Finally, based on the simulation results and the analyses of the results, we would like to discuss the necessity of the existence of current call warrant market in Taiwan further and would also like to give some suggestions to the security companies, the financial institutions, and the investors.
The conclusions of this paper are as follows：
1. The delta neutral hedge used by the security companies and
the financial institutions is not a subgame perfect Nash
equilibrium, that is to say, under the stock price
distribution patterns and the call warrant game model we
construct, the delta neutral hedge is not the optimal
strategy for the security companies and the financial
institutions.
2. The investors who only invest in call warrant could not
hedge and speculate simultaneously in the same underlying
stock. Besides, according to the simulation results, the
investors who invest directly in the underlying stocks
rather than invest only in the call warrants will get a
better outcome of investment.
3. For the security companies and the financial institutions,
they should be well aware of the price trend of the
underlying stocks before issuing the call warrants. For the
investors, they should know the characteristics of call
warrant, the underlying assets, and other financial
products first and then could use the investment portfolio
to make their investment more effective.
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