臺灣博碩士論文加值系統

本研究主要透過台灣期貨交易所及台灣經濟新報分別收集93-95年台指選擇權每日收盤交易資料及台灣證券交易所現貨加權指數每日收盤價交易資料，首先篩選出具有市場趨勢預期價值的近月價外買權與賣權選擇權每日交易資料。
根據所篩選的近月價外選擇權每日交易資料計算出每一交易日的選擇權偏態係數與峰態係數，作為判斷現貨市場交易策略的依據，同時根據近月價外選擇權每日交易資料，利用Black-Scholes選擇權定價模型及選擇權平價理論分別計算出每日買權與賣權隱含波動率的數據，將其計算結果標準化繪製成隱含波動率微笑曲線圖，作為判斷偏態係數可靠度的分析依據。
最後本研究依據93-95年實際台指選擇權及現貨加權指數每日交易資料，進行實證研究結果，提出在不考慮交易手續費、稅負等交易成本的因素下，台指選擇權偏態係數波動對現貨市場交易策略具有顯著影響性、且透過標準差檢定顯示並未提高交易風險的研究結論。

This study mainly researches the TXO which is Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) option that is daily closing prices from 2004 to 2006 and the TAIEX in Taiwan futures exchange and the Taiwan Economic Journal Data Bank (TEJ).
First, this study screens the out-of-the-money call and put options which is market tendency anticipated value in recent months.
Second, this study calculates the option skewness and kurtosis according to the out-of-the-money options which are screens by the option daily transaction. The results are the stratey which trade in stock market. Third, this study using the Black-Scholes option pricing model and put-call parity calculate the implied volatility of the put and call options according to the out-of-the options which are made daily price in recent months. Fourth, this study drew the volatility smile chart by the implied volatility and estimate the reliability of the skewness.
Finally this study researchs the empirical study on TXO and TAIEX from 2004 to 2006. This study do not cover transaction costs and taxes.Under these circumstances, the volatility of the skewness on the TXO affects notably the trade strategy on the TAIEX. And this study concludes the transaction risk do not rise through the standard test.

摘 要 I
ABSTRACT II
目 錄 III
圖 目 錄 V
表 目 錄 VI
第一章 緒論 1
1.1 研究背景 1
1.2 研究動機 2
1.3 研究目的 2
1.4 研究架構及步驟 3
1.5 本文架構 5
第二章 文獻探討 6
2.1 指數選擇權文獻探討 6
2.2 高階動差文獻探討 9
2.3 隱含波動率文獻探討 12
2.4 隱含波動率偏態文獻探討 16
第三章 研究方法 18
3.1 資料來源 18
3.2 資料處理(1)-偏態係數計算 23
3.2.1 計算一、二、三階動差係數 23
3.2.2 計算偏態係數及峰態係數 25
3.3 資料處理(2)-隱含波動率計算 27
3.4 資料分析方法 29
第四章 實證研究 30
4.1 資料篩選及處理 30
4.1.1 資料篩選 30
4.1.2 資料處理 32
4.2 模擬現貨交易策略 33
4.3 Moneyness標準化的檢定 39
第五章 結論與建議 43
5.1 研究結論 43
5.2 研究貢獻 44
5.3 研究限制 44
5.4 後續研究建議 44
參考文獻 46

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