證券價格行為模式對其衍生性證券評價的正確性有重大的影響，故探討證券價格變動隨機過程是近來財務領域熱門的主題。自Black-Scholes於(1973)導出選擇權評價模式為選擇權評價開啟了大門，後續研究乃在為其不合理假設提出更適當之模型。如Merton (1973)放寬利率與價格報酬波動率為常數的假設，提出跳躍模型及Bollerslev (1986)引用經濟上的計量方法，以一般化自我迴歸條件變異數模型GARCH模型進一步描述波動率的特性。更有Jorion (1988) 結合了跳躍擴散程序與ARCH模型及Lin, Yeh (2000)修正Jorion(1988)提出之GARCH跳躍選擇權評價模型。本文研究目的在分別利用此四種選擇權評價模型評價(Black-Scholes選擇權評價模型、跳躍擴散選擇權評價模型、GARCH選擇權評價模型、GARCH跳躍選擇權評價模型)並試圖找出配適度較好的模型。GARCH跳躍選擇權評價模型是採用Lin, Hong, Wang, and Wu (2008) 所推導出之樹狀模型。研究對象採用2007年7月至2008年3月發行之個股認購權證，實證結果發現GARCH跳躍選擇權評價模型作為台灣認購權證的評價模式，確實較其他三種評價模型有更好的配適。

The stochastic process of stock prices is a crucial issue for option valuations. The Black-Scholes option pricing model is based on the assumption that stock returns are generated by a continuous diffusion process. But their model exist some of restrictions that causes the largest empirical biases on the pricing of options. Therefore, considerable attention has been focused on extending the BS model to represent reasonably the asset return dynamics recently. For example, Meton (1973) jump pricing model, Bollerslev (1986) GARCH and Jorion (1988) ARCH-jump option pricing model. The purpose of this study is to price the warrant and apply the GARCH-jump option pricing model derived from Lin, Hong, Wang and Wu (2008) to determine which model provides theoretical values closer to market-determined warrant prices. The samples covered in this study are 15 single-stock warrants in Taiwan Stock Exchange (TSE) from July 2007 to March 2008. Empirical study shows that the GARCH-jump pricing model outperforms the other option pricing models.

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