遠期選擇權的訂價方法 ─ 以VIX期貨及選擇權實證分析

Pricing on Forward Options Empirical Analysis on VIX Futures and Options

陳葳庭(We-Ting Chen)

指導教授 ： 張焯然

國立清華大學/科技管理學院/計量財務金融系/碩士(2017年)

摘要

論文主要使用以選擇權為未來交割商品的期貨的概念，架構出遠期選擇權的訂價方法，在假設市場上存在可交易的期貨商品，且滿足無套利的情況下，利用兩個不同到期日的選擇權價格，得到遠期選擇權的訂價公式。並且透過Black-Scholes訂價公式，使用S&P500指數選擇權的價格資料，在假設股價走勢符合幾何布朗運動下，計算出遠期選擇權價格，並且進一步計算得到隱含遠期波動率。
使用芝加哥期權交易所（CBOE）發行的波動率指數商品VIX期貨，作為未來的隱含波動率，並和使用遠期選擇權價格計算出的隱含遠期波動率比較，驗證其預測效果。

關鍵字

遠期選擇權 ； 隱含遠期波動率 ； VIX期貨

並列摘要

We introduce a new pricing formula on forward options, and we add the concept of futures whose underlying asset is an option. Under the assumption of no-arbitrage, we use two options of different maturities to get the price of the forward option. Then, we put relative parameters into Black-Scholes pricing formula, getting the volatility which is so-called the implied forward volatility.
After computing the implied forward volatility from the formula of forward options, we will use data of VIX futures to make comparison. We also compare with forward volatility and examine the predictability of it.

並列關鍵字

forward options ； implied forward volatility ； VIX futures

參考文獻

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