由於台灣股票選擇權為新的金融商品，學界及投資人對於其訂價行為非常關心。國內、外的選擇權實證研究上，大多探討選擇權市場中是否存在著套利機會與價格偏誤的程度，亦即市場的參與者能否藉由交易合成部位或違背界限條件的選擇權，而獲得無風險報酬。

　　本文使用界限條件、買權賣權平價理論及B-S模式三種方法，檢定無風險套利機會及理論與實際價格誤差大小，針對台灣五檔個股選擇權進行實證分析，衡量在成交價與即時買/賣報價兩種不同資料結構下，是否存在定價偏誤的情形。

　　本文的實證結果與意涵如下:

1.由日資料實證結果發現，考慮交易成本後，五檔個股選擇權仍有違背下界的情況出現，而其中以價內選擇權比價外及價平更加無效率；不過買/賣報價實證資料則顯示，選擇權仍然符合界限條件，只是價內選擇權仍舊相對無效率。隱含投資人傾向對流動性風險要求溢酬而壓低價格，其中又以價格較高的價內選擇權最為明顯。

2.由買/賣報價資料做買權賣權平價理論的實證分析，發現台灣個股選擇權皆符合買權賣權平價理論，不存在無風險套利機會。但由於用選擇權合成的現貨買賣報價相差過大，應將此結論解釋為台灣個股選擇權市場的流動性太差，以致選擇權買賣價差過大而無法套利。

3.由於個股選擇權交易日益清淡，流動性風險增加，理論價大多有被高估的情況，本文實證發現:以隱含波動性所計算的BS-IV價格，比由歷史波動性計算的BS-HV理論價，更貼近台灣股票選擇權之市場價格。顯示投資人對於流動性風險高的五檔個股選擇權，不願支付較高的權利金，使得理論價普遍有高估成交價格的現象。

　　Since Taiwan stock options are a newly introduced derivatives, investors as well as academic workers are interested in their price behavior. Most domestic and foreign empirical researches have investigated whether the option markets exist arbitrage opportunity and mis-pricing, in other words, whether the participators are able to gain riskless returns by trading composed positions or options that violate boundary conditions. In this thesis, we have empirically analyzed present five stock options in Taiwan to examine whether there exists mis-pricing between the open price and bid-ask price. Also, we have tested riskless arbitrage opportunity and the theoretical and empirical mis-pricing extent by using boundary conditions, the put-call parity and the B-S Model. The empirical results show that:

1.According to the daily data, the five stock options would violate their lower bounds when trading costs are added in, and in-the-money options are less efficient than out-of-money and at-the-money options. However, according to the bid-ask price data, the options coincide with the boundary conditions, but still in-the-money options are relatively inefficient. It implied investors tend to bring down the price to obtain premiums of liquidity risk, notably the in-the-money options with higher price.

2.According to the empirical analysis of put-call parity from bid-ask price data, the stock options satisfy the put-call parity and do not exist riskless arbitrage opportunity. Nevertheless, for the bid-ask price composed of options has large gap, it would be explained that the stock options market in Taiwan is not liquid enough to be arbitraged.

3.Due to the less and less trading volumes of stock options, the increasing liquidity risk has made the theoretical price overvalued. We have found that the option prices calculated in terms of implied volatility could be more close to the market price than those in terms of historical volatility. It seems that the investors are not willing to pay higher premiums for the five high-liquidity-risk stock options so that the theoretical prices would be generally overvalued.

一中文部分

1.王明昌(1997)，台灣認購權證市場效率性分析，成功大學會計學研究所未出版碩士論文。
2.李健瑋(1997)，認購權證評價模式錯價之探討，中正大學財務金融所未出版碩士論文。
3.官顯庭(1997)，備兌認購股權之評價理論與應用－以海外發行之台股備兌認購股權為例，中山大學企業管理學系未出版碩士論文。
4.陳苑欽(1998)，台股認購權證之評價與其發行對股價波動之影響研究，中原大學未出版碩士論文。
5.陳德修(2001)，以界限條件實證台灣認購權證市場之效率性，逢甲大學企業管理研究所未出版碩士論文。
6.許翠芸(1999)，以套利觀點檢定台灣認購權證市埸之效率性，朝陽科技大學財務金融所未出版碩士論文。
7.許朝欽(2003)，台灣股市認購權證評價及其對標的股價風險與訊息傳遞之關係，成功大學企業管理研究所未出版碩士論文。
8.單應翔(1998)，台灣認購權證訂價模型選擇之研究，長庚大學管理學研究所未出版碩士論文。
9.郭伯聖(2002)，台灣股市認購權證定價模型之實證研究－ANN－GARCH模型之應用，台北大學企業管理研究所未出版碩士論文。
10.楊青(2000)，非完全競爭下之認購權證評價：台灣之實證，台灣大學財務金融研究所未出版碩士論文。
11.楊玉菁(2001)，台灣個股型認購權證評價之研究，彰化師範大學商業教育研究所未出版碩士論文。
12.趙宗宏(2002)，台灣股票市場波動與認購權證市埸之探討－波動度模型之應用，中山大學經濟學研究所未出版碩士論文。
13.蔡立光(1998)，台灣上市認購權證定價模型與避險策略之研究，中央大學財務管理研究所未出版碩士論文。

二. 英文部分

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