多空時期之股價分配與選擇權之隱含波動性

Stock Price Distributions and Implied Volatilities of Options in Bull and Bear Markets

許溪南(Hsi-Nan Hsu) ； 黃麗鳳(Li-Yuan Huang)

《Asia Pacific Management Review》 4卷3期 (1999/09) Pp. 231-254

https://doi.org/10.6126/APMR.1999.4.3.03

摘要

本文的目的有二:（1）首先探討多空市場下的股價分配是否不同，（2）進一步探討多空市場下的股價分配是否影響選擇權的隱含波動性，因而可推知選擇權定價是否反應多頭與空頭等不同市場情況，以及反應出不同的股價分配。

關鍵字

股價分配 ； 隱含波動性 ； 選擇權定價 ； 多空時期

並列摘要

The purposes of this paper are: (1) to investigate whether stock price distributions in bull, bear and correction markets are different, and (2) to investigate whether stock price distributions in different market conditions have impacts on implied volatilities of options, so that an inference about how stock price distributions influence option pricing can be reached.

並列關鍵字

Stock Price Distributions ； Implied Volatilities ； Option Pricing ； Bull And Bear Markets

參考文獻

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