本文探討市場風險如何影響歐式選擇權價格，提出市場風險下的選擇權定價模型。探討市場風險的因子負荷、市場波動率、及特定風險波動率如何對選擇權價格、履約機率、及價格敏感度造成影響。本文指出市場風險的因子負荷、市場波動率、及公司特定風險為組成選擇權價格的重要部分，它們均能提升選擇權價格。另外，個股的特定風險，相對於來自於市場風險，對於選擇權定價及履約機率有較大的影響力。我們也指出Black-Scholes 模型低估正相關標的物風險來源的選擇權價值，高估負相關標的物風險來源的選擇權價值。另外，市場風險與特定風險可以平穩股價對契約履約的影響。我們區別選擇權標的物價格的風險來源是重要且有意義的，不僅是因為股票遭受自身風險與外在市場風險的事實，而且是它們對於選擇權權利金有不同程度的作用。

This study examines how market risk change options, by proposing a market risk option pricing model. Specifically, we examine how factor loadings, market volatilities of market portfolio and idiosyncratic risk influence premiums, exercise probability, and premium sensitives for European vanilla calls and options. Our results of closed solutions and numerical analysis show that three parameters are important to be option pricing’s determinants and have positive effects on the option premiums. Comparing to the market risk, the idiosyncratic risk has largely impacts on the pricings and exercise probability. Moreover, the Black-Scholes option pricing model undervalues option premiums that the underlying stocks have positive-correlation risk sources, and overvalues option premiums that the underlying stocks have negative-correlation risk sources. Specifically, we find market risk and idiosyncratic risk can mitigate a relation between stock price and option’s exercise probability. In sum, it is important and valuable to differentiate underlying stocks’ risk sources, the reason is not only on the fact of that stock returns are suffered from both stock itself risk and outside market risk, but also on the results of that they have differential impacts on the option premiums.

第一章　緒論 1
第一節 研究背景與動機 1
第二節　研究目的與貢獻 2
第三節　研究架構 3
第二章 文獻探討 5
第一節　系統風險與異質風險 5
第二節　選擇權定價 7
第三章　選擇權定價模型 11
第一節 基本假設及研究方法 11
第二節 買權與賣權之定價與履約機率 13
第三節 理論探討 16
第四節 避險參數 19
第五節 獨立性 22
第四章 數值範例 25
第一節 選擇權價值與契約設計 25
第二節 市場風險、特有風險與選擇權價格 25
第三節 獨立性與選擇權定價 27
第四節　模型比較 28
第五節 敏感度分析 29
第六節　履約機率 30
第五章　結論 33
參考文獻 35
附錄 53

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