中華民國財政部為維護台灣股票市場之安定，自民國78年10月份起，規定每日股票價格漲跌幅度限於7%內，然而傳統的Black-Scholes選擇權評價模式中並未考量標的物股價漲跌幅限制帶來的影響，因此本研究將以新的股價報酬率分配假設為主軸，發展新的B-S選擇權評價模式，達成以下5點研究目的：

一、根據台灣股市每日股價漲跌幅限制的特性，利用雙截斷常態分佈，作為股價報酬率的分配假設。
二、根據股價報酬率新的分配假設，配合其他既有傳統B-S模型的假設，重新推導建立「新B-S選擇權評價模型」（包含買權call和賣權put兩種模型）。
三、根據既有歷史股價報酬率資料，估計新選擇權評價公式的重要波動性參數。
四、驗證新B-S評價模式是否滿足選擇權的基本性質。
五、比較傳統B-S模型與本研究新評價模式的預測成效。

　　In order to avoid heavy volatility on the trades in the Taiwan Stock Market, the daily price limit (up and down 7%) for each stock has been imposed by the R.O.C. official Ministry of Finance since October 1989. After imposing the restriction, the standard Black-Scholes model to the option price is still used as the model for estimation. Unfortunately, the impact of price limit was not clear by using the standard B-S model. In this study, the following objectives will be accomplished:
1. After imposing the daily price limit on Taiwan Stock Market, we modify the distribution assumption on the rate of return to doubly truncated normal.
2. Establishing the “new B-S model” by the doubly truncated normal distribution while all other assumptions remain unchanged as the standard Black-Scholes model required.
3. Using historical stock price data to estimate the volatility of the distribution on the rate of return that is one of the important factors for evaluating option price.
4. Verifying the basic properties of “new B-S model” to see if they agree to those of the “standard Black-Scholes model”.
5. Comparing the difference among the option prices evaluated by the “new B-S model”, the “standard B-S model”, and the settlement option prices provided by Taiwan Future Exchange. The data support the use of the “new B-S model” and the “standard B-S model” to the market with restriction.

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