封閉解GARCH選擇權模型運用於台指選擇權評價與波動性之研究

An Application of Closed-Form GARCH Option Pricing Model to TAIEX Options and Volatilities

方春苹(Chun-Ping Fang)

指導教授 ： 蘇永成

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.2004.10167

摘要

無資料

關鍵字

選擇權 ； 波動性 ； GARCH

並列摘要

Many empirical studies have indicated that the assumption of Black-Scholes model exhibits systematic biases. In practice, Black-Scholes implied volatilities tend to differ across exercise prices and time to maturity. To overcome the shortcoming, many researchers have contributed to substantial new models. In this article, we test the empirical implications based on Heston and Nandi (2000) GARCH model in the TAIEX options market. As a benchmark model we choose the ad hoc BS model that has the flexibility of fitting to the strike and term structure of observed implied volatilities by using a separate implied volatility for each option. It is found that the GARCH model has smaller valuation errors (out-of-sample) than the ad hoc BS model.

並列關鍵字

GARCH ； Volatility ； Options

參考文獻

Bakshi, G., C. Cao, and Z. Chen, 1997, “Empirical Performance of Alternative Option Pricing Models,” Journal of Finance, 52, 2003–2049.

Bakshi, G., C. Cao, and Z. Chen, 1998, “Pricing and Hedging Long-Term Options,” Working Paper, University of Maryland; forthcoming in Journal of Econometrics.

Bates, D., 1996, “Jumps & Stochastic Volatility: Exchange Rate Processes Implicit in Deutschemark Options,” Review of Financial Studies, 9, 69–107.

Bates, D., 1999, “Post-87 Crash Fears in the S&P 500 Futures Options,” Working Paper, University of Iowa; forthcoming in Journal of Econometrics.

Black, F., and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 637–659.