台指選擇權評價與台指期貨波動度套利之實證研究

Empirical Study of Evaluation of the TAIEX Index Options and the Volatility Arbitrage with the Taiwan Stock Index Futures

林家民(Chia-Min Lin)

指導教授 ： 許江河

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2011年)

https://doi.org/10.6827/NFU.2011.00097

摘要

自Black與Sholes提出波動度評價模型後，不但選擇權問題受到廣泛的討論，也出現許多不同的選擇權評價模型；儘管各模型都有其理論基礎，但在實務評價上往往都有很大的誤差。本文引進七種波動度預測模型分別為：歷史波動度預測模型、GARCH(1,1)波動度預測模型、指數平滑波動度預測模型以及四種由交易人規則所計算的Ad Hoc Black Sholes波動度預測模型。嘗試透過七種波動度預測模型，對Black-Sholes模型進行比較，以找出這些波動度預測模型何者評價誤差最小。並且進一步研究運用該七種波動度模型，所預測的波動度與台灣指數選擇權買權的隱含波動度關係進行小型台指期貨與台指選擇權套利研究。本文所採用的樣本資料為2002年初至2009年底一共七年的近月份小型台指期貨日收盤資料與台指選擇權日收盤資料。實證結果發現，本文在提高交易成本與考慮交易稅與手續費後，仍然能夠產生4%的獲利。

關鍵字

選擇權評價 ； 波動度預測模型 ； 台指選擇權 ； 台指期貨 ； 波動度套利

並列摘要

Since the Black and Sholes made the evaluation of volatility model, not only the evaluation of volatility has been widely discussed, but also appeared much different option pricing model. Although every model has its theoretical basis, most of them have the problem of huge errors of evaluation in their practice use. In this paper, we used seven types of volatility models, namely Black-Scholes model、exponential smoothing model、GARCH model and four Ad Hoc Black-Scholes models. Attempt to seven volatility forecasting model, on compare the Black-Sholes model to identify where the minimum error were evaluated. And further research and application of the seven kinds of volatility models to predict the volatility of TAIEX futures contract and investigate the performance of volatility arbitrage between TAIEX futures and TAIEX TXO call options. Sample data used in this paper is beginning of January 2002 to November 2009 a total of seven years at the daily prices from the near month TXO call options and TAIEX futures contract. Empirical results, this paper after improve transaction costs and considering transaction tax and fee, still able to generate profitability of 4%.

並列關鍵字

Option Pricing ； Volatility Forecasting Model ； Taiwan Stock Index Options ； Taiwan Stock Index Futures, ； Volatility Arbitrage

參考文獻

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