選擇權價內外狀況對隱含機率分配之影響

Influence of Options Moneyness on the Implied Probability Distribution

簡靖益(Ching-Yi Chien)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101202

摘要

本篇利用Breeden and Litzenberger(1978) 結合Bliss and Panigirtzoglou (2004)的方法估計市場對S P500的風險態度及預測價格。此方法的特色為不對標的物價格機率分配做假設只假設市場代表人的效用函數形式及其在不同時點是穩定的，接著利用選擇權價格及利率等相關資料即可得到市場對標的物未來價格的預測分配。本篇還嘗試比較選擇權價內外資料的差異及此對於模型的影響。

關鍵字

選擇權隱含分配 ； 風險中立分配 ； 風險趨避分配 ； 無母數估計 ； 價內外

並列摘要

This study is focus on estimating the market's risk attitude towards S P500 and predicting the price with the method combining Breeden and Litzenberger (1978) and Bliss and Panigirtzoglou (2004). The feature of this method is that it does not make assumptions about the probability distribution of the S P500 price, but only assumes a stable utility function form of the market representative, and then use relevant data such as option price and interest rate to get the future price probability distribution. This study also attempts to infer how the moneyness of the options impacts on the model and compare the difference.

並列關鍵字

Option-Implied Distribution ； Risk-Neutral Distribution ； Risk-Aversion Distribution ； Nonparametric Estimation ； Moneyness

參考文獻

Aït-Sahalia, Y., Lo, A. W. (1998). Nonparametric estimation of state‐price densities implicit in financial asset prices. Journal of Finance, 53(2), 499-547.

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Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654.

Bliss, R. R., Panigirtzoglou, N. (2004). Option‐implied risk aversion estimates. Journal of Finance, 59(1), 407-446.

Berkowitz, J. (2001). Testing density forecasts, with applications to risk management. Journal of Business Economic Statistics, 19(4), 465-474.