- 學位論文
臺指選擇權Black-Scholes Model理論權利金與市場權利金差額之隱含訊息
Information Implied in Spreads Between Black-Sholes Theoretical Premia and Market Prices of Taiwan Stock Index Options
摘要
本文主要探討臺股指數選擇權於Black-Scholes模型下，價平契約理論權利金與價平契約市場選利金差額所隱含的訊息，實證結果發現，利用買權價權利金理論價與市價的差額做為日內期貨交易的依據，在扣除交易成本後依然能獲得正報酬，此外，比較採用現貨與採用期貨市場二種交易時段的資料進行測試，我發現採用期貨市場交易時段獲利的較高，期貨市場較現貨市場早開盤十五分鐘並晚收盤十五分鐘，這段時間可能包含較多臺指期貨和現貨價格走勢的訊息。
並列摘要
This study investigates information implied in spreads between Black-Scholes theoretical premia and market prices for at-the-money options of the Taiwan stock index. The results show that trading stock index futures based on the call spreads can earn positive returns after transaction costs deducted. In addition, trading profits are found higher if the time frame of the futures market rather than that of the spot market is employed. This suggests that some information is contained in the 15 minutes before the spot market opens and after it closes.