Title

以變動波幅的波動性為基礎之選擇權定價-台指選擇權之實證研究

Translated Titles

The Option Pricing based on Range Based Volatility-Evidence from the TAIFEX Stock Index Options

DOI

10.6846/TKU.2012.00624

Authors

鄭堯文

Key Words

Black-Scholes 選擇權評價模型 ; Range Based Volatility ; 隱含波動性 ; Black-Scholes option pricing ; Range Based Volatility ; implied volatility

PublicationName

淡江大學財務金融學系碩士班學位論文

Volume or Term/Year and Month of Publication

2012年

Academic Degree Category

碩士

Advisor

李沃牆

Content Language

繁體中文

Chinese Abstract

波動性是衍生性商品訂價及風險管理的重要因子。本研究以不同的波動性來探討台指選擇權的定價,在實證上以距到期日不同期間(10天、30天、60天)以及價內程度(價內、價平、價外)之臺指選擇權及台灣加權指數為標的。而波動性模型係以Range Based Volatility為基礎來預測,並與其他波動性模型比較。接著再利用不同波動性模型下產生出來的值針對偏誤性及效率性進行檢定。實證結果顯示,在檢驗波動性之偏誤方面,以Range Based Volatility之AV-α(Asymmetric Autoregression Volatility Model)波動性預測最為精準。

English Abstract

Volatility is the most factor for derivative pricing and risk management. This study discusses the option pricing based on different volatility models. In empirical study, we apply different mutuality options (includes 10 days, 30 days&60 days) and the moneyness (in the money, at the money, out the money) of the Taiwan stock index Options, and Taiwan's weighted index. The volatility model is based on the Range Based Volatility and compare with other volatility models. We further to test the bias and efficiency of predication. Empirical study shows that , the asymmetric autoregression volatility model is the most accurate model among the the range based volatility models.

Topic Category 商學院 > 財務金融學系碩士班
社會科學 > 財金及會計學
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