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臺大管理論叢

27

卷第

2

237

3. Some Topics about Business Operations on Derivatives Market: The papers studying this

aspect mainly compare the Adjusted Net Capital measure with the BIS capital adequacy

ratio in order to choose which one is more suitable for internal management. Some other

studies investigate how to extract information in financial reports to better understand

how good a derivatives dealer is operating.

4. Real Options: The financial options we have discussed can be extended to assess capital

investment opportunities in real assets. The approach known as real options attempts to

deal with decision making problems using the option pricing theory. There is a wide range

of applications for real options, and our surveys are classified in terms of (1) firm value

evaluation, (2) capital investment appraisal, and (3) assessment of industry policy. Each

classification involves various methodologies to conduct different evaluations of real

options.

5. Others: In addition to the studies mentioned above, other papers about derivatives’

applications are included in this item. Related topics include the continuous barrier option

model, the exchange option model to evaluate open market repurchases, delivery option

pricing, and so on.

4. Conclusion and Suggestions for Future Research

As we survey so many papers regarding empirical studies of derivatives and their

applications in Taiwan, we find superior academic accomplishments have been generated in

these issues. However, there is still room for improvement and future research. From the

aspect of empirical studies, many topics appear quite promising considering that modern

financial innovations have become quite sophisticated, and high technologies are widely

employed on financial transactions. We illustrate some issues that have good potential for

future research, like high frequency trading (HFT), volatility index (VIX), detailed

information extracted from agents across different markets, and the change in the transaction

system and its corresponding impacts on the market and empirical studies under a

sophisticated theoretical model (e.g., a weather derivatives model or a catastrophic model).

We believe these issues offer great opportunities for further academic exploration, with the

end result being that the empirical results can get published in well-known international

journals.

Looking at derivatives’ applications, we believe that more and more research can be

generated as derivatives theories are becoming more popular and commonly used in the

markets. After we survey some published articles in top-tier foreign journals, we believe we