| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 92 === This article proposes the Trinomial Black-Scholes (TBS) Option Pricing Method, which graft BS(1973) on Ritchken and Trevor(RT,1999) trinomial method. In order to test its performance, firstly we conduct a numerical simulation by using the parameter values in RT(1999), and then we empirically examine its performance on the pricing of the call warrants in Taiwan Stock Exchange. The pricing results are compared with the pricing results of RT(1999) method and BS(1973) model. We find that there still exist the deviation between the market price and the theoretical price based on NGARCH process, but the differences between market prices and TBS theoretical model prices are the smallest among the three. Finally, we find that moneyness and time to maturity can explain the price differences between TBS and market price of call warrants.
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