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臺大管理論叢
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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