本文分別針對股價模型轉折點之估計問題與股價與權證聯動性兩部分做研究，在股價模型部分，我們以幾何布朗運動配適股價，在此模型之下，利用最大概似法分別探討離散時間與連續時間兩方面多重轉折點估計方法之研究，並以台灣證卷交易所的電子類股指數資料進行實證分析。在股價與權證價格的聯動性部分，探討Black-Scholes定價公式與市場價格之關係，並以元大京華證卷發行的元大B9與其標的股兆豐金控為實例進行探討，並得到一些有趣的結果。

　　In this thesis, there are two parts including both change-points detection for geometric Brownian motion of stock pricing and the study of the relationship between stock pricing and warrants. In problem of detecting change-points for the geometric Brownian motion of stock pricing, maximum likelihood principle is applied to estimate the change-points. In this study, both discrete-time and continuous-time estimation are considered. And electronic sector stock index of TSE are analyzed to illustrate the proposed procedure. In problem of is studying the relationship between stock pricing and warrants, we discuss the rationality of Black-Scholes model using an example of Yuanta Core Sec. Warrant B9 and MEGA FHC. Some interesting results are found in the study.

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