| Summary: | 碩士 === 靜宜大學 === 會計學系研究所 === 97 === From Black and Scholes (1973) announced option list price mode, at the same time, derivative instrument market developed very quickly. Option then day from 2001 average turnover 856 volumes to the 335,807 volumes of 2005, up to now in 2008 June have already reached to 412,352 volumes, we can know from here it the growth speed of the trade amount with is valued of the degree increase with each passing day, how therefore the exactitude measure option price and its control its risk variable can''t ignore. This research namely with Taiwanese futures trading post the option merchandise of the nominal quotation for sample, including the TXO、GTO、TEO、TFO、XIO and MSO, we depend on January 1,2006 to June 30,2008 of the Taiwanese market carry on the research of risk value, respectively apply the normality、constancy、ARCH effect and AIC effect to test；and apply ARCH、GARCH、GJR、EGARCH four kinds of modes appraisal risk value; and recalls the test to confirm four kind of different model risk value the accuracy. The result of experiment detect, the TXO、GTO、TEO、TFO、XIO and MSO, widespread with the performance of EGARCH model better, and in all commodities through the Back test, besides the TXO-Put Options, and the current period risk has following five characteristics: (1) The current period risk all receives own previous period error and risk affects. (2) The current period risk all receives the market good news to affect presents obviously. However, (3) Only TXO-Out Options and GTO-Put Options, the current period risk receive the period error intensity affects. (4) Only GTO-Put Options, the current period risk receive the previous period non-expect residual of large margin change affects. (5) In risk VaR appraisal, only GTO-Call Options, that large impossible loss is less than its right. Therefore, in this article, investors would conform our experiment idea on GTO- Call Options when the risk is assessment.
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