臺灣博碩士論文加值系統

本文研究目的在於觀察歐洲美元期貨選擇權價格之隱含分配是否與加入跳躍擴散過程之利率選擇權評價模型相符，另外探討歐洲美元期貨選擇權價格之隱含分配在不同價性與到期期間是否有不同情形；本文將歐洲美元期貨選擇權分為4種不同價性與3種不同到期期間，並利用Bates的偏態溢酬(skewness premium)做實證發現不論價性與到期期間為何，其價外選擇權偏態溢酬皆不符合x%法則(x% rule)，故本文推論隨機過程服從對數對稱的跳躍擴散過程(log-symmetric jump-diffusion processes)之評價模型，較不適合用在利率期貨選擇權中；另外，歐洲美元期貨選擇權在不同價性之下，其隱含分配也有所不同，且隨著選擇權價外程度愈大，其隱含分配之偏態程度亦愈大；最後，在歐洲美元期貨選擇權中，選擇權偏態溢酬在不同到期期間會有所不同，且到期期間愈長之選擇權，其隱含分配之偏態程度愈小，而到期期間愈短之選擇權，其隱含分配之偏態程度愈大。

There are three purposes of this article; one is to observe that whether the implicit distribution of Eurodollar futures options is same with the option pricing model with jump diffusion process for interest rate option; the others are to observe that whether the implicit distributions of Eurodollar futures options are the same with different moneyness and maturities. There are four moneyness and three maturities in this article, and we use Bates’ “skewness premium” to find that no matter what moneyness or maturity is, the skewness premium of OTM option does not conform to x% rule, so the option pricing model with log-symmetric jump-diffusion processes does not fit interest futures option. In addition, the implicit distributions of Eurodollar futures option with different moneyness are different. At last, the implicit distributions of Eurodollar futures option with different maturities are different.

目 錄
摘要 I
目 錄 III
表目錄 IV
圖目錄 IV
第一章 緒論 1
第二章 研究方法 4
第一節 歐式選擇權 4
第二節 美式選擇權 8
第三章 資料說明 10
第一節 歐洲美元期貨與選擇權 10
第二節 研究樣本說明 15
第四章 實證結果 18
第五章 結論 26
參考文獻 28

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