變異數估計對選擇權交易策略的影響

The Impact of Volatility Estimation on Option Trading Strategies

楊宗達(Tsung-Ta Yang)

指導教授 ： 林建甫

國立臺灣大學/社會科學院/經濟學研究所/碩士(2019年)

https://doi.org/10.6342/NTU201903835

摘要

本文將探討不同變異數估計模型於Black Scholes選擇權定價公式下的優劣。首先介紹Black Scholes選擇權定價公式，然後介紹三種變異數估計模型，接著將估計的變異數套入選擇權定價公式得到買權及賣權的理論價格，然後透過比較理論價格與市場價格的差異以及模擬市場交易的方式，試圖分析不同變異數估計模型的優劣。

關鍵字

選擇權 ； Black Scholes ； 變異數估計 ； ARCH ； GARCH ； 台股加權指數

並列摘要

This paper studies how volatility estimation influences option pricing in Black Scholes model. First, we introduce the Black Scholes option pricing model. Second, we introduce three kinds of volatility estimation models. Then, we input the estimated volatilities estimated by these models into Black Scholes option pricing model to obtain theoretical call and put price. Then, we compare these theoretical option prices with the real world market option price data, and compare them with different approach to figure out which volatility estimate model is better.

並列關鍵字

Options ； Black Scholes ； Volatility Estimation ； ARCH ； GARCH ； TAIEX

參考文獻

Black, F. and M. Scholes (1973)," The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 3, 637-659.

Bollerslev T. (1986),"Generalized Autoregressive Conditional Heteroskedasticity" Journal of Econometrics, 31, 307-327.

Engle, R. (1982), " Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. inflation," Econometrica, 50, 987-1008.