選擇權隱含機率分配之研究

Implying Probability Distribution from Transaction Data: The case of Taiwan option market

潘文良(Wen-Liang Pan)

指導教授 ： 李存修

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10245

摘要

無資料

關鍵字

隱含機率分配 ； 隱含波動度 ； 雙對數常態分配

並列摘要

Option prices are assumed to contain unique information about how market participants assess the likelihood of different outcomes for future market prices. The main object of this study is to analyze the potential value of information contained in prices of options on the TAIEX index at Taiwan Stock Exchange. The information is extracted using implied risk-neutral density functions. This paper compares the quality and information contents in three alternative methods — the Black-Scholes model, the mixture of two lognormal, and the implied volatility function — by transforming these option data into the RNDs. The method based on a mixture of lognormals density is found to rank first. Despite of the different methodology in these three approaches, they lead to typical characterization of negative skewness and leptokurtosis. This implies the investors risk averse attitude in Taiwan market.

並列關鍵字

implied volatility function ； implied volatility ； mixture-lognormal ； implied distribution

參考文獻

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