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研究生:潘文良
研究生(外文):Wen-Liang Pan
論文名稱:選擇權隱含機率分配之研究
論文名稱(外文):Implying Probability Distribution from Transaction Data: The case of Taiwan option market
指導教授:李存修李存修引用關係
指導教授(外文):Tsun-Siou Lee
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:32
中文關鍵詞:隱含機率分配隱含波動度雙對數常態分配
外文關鍵詞:implied volatility functionimplied volatilitymixture-lognormalimplied distribution
相關次數:
  • 被引用被引用:3
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Option prices are assumed to contain unique information about how market participants assess the likelihood of different outcomes for future market prices. The main object of this study is to analyze the potential value of information contained in prices of options on the TAIEX index at Taiwan Stock Exchange. The information is extracted using implied risk-neutral density functions. This paper compares the quality and information contents in three alternative methods — the Black-Scholes model, the mixture of two lognormal, and the implied volatility function — by transforming these option data into the RNDs. The method based on a mixture of lognormals density is found to rank first. Despite of the different methodology in these three approaches, they lead to typical characterization of negative skewness and leptokurtosis. This implies the investors risk averse attitude in Taiwan market.


Contents
1. Introduction 1
2. The relationship between option prices and RND functions 5
2.1 The Black-Scholes (1973) formula and its RND function 5
2.2 The implied volatility smile curve 7
2.3 Option prices and risk-neutral densities 9
3. Literature on the RND estimation 11
4. Methodology 17
4.1The Two-Lognormal Mixture Distribution Method for Equity Index Options 17
4.2Implied volatility functions model 20
4.3Data Sources 23
5. RESULTS 24
5.1 Performance comparison 24
6. CONCLUSIONS 28




References

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2.Bahra, B., 1997, “Implied Risk-neutral Probability Density Functions from Option Prices: Theory and Application”, Working paper, Bank of England, London.
3.Bliss, R. R. and Panigirtzoglou, N.,2002”, Testing the stability of implied probability density functions”, Journal of Banking & Finance 26: 381–422.
4.Breeden, D. T. and Litzenberger, R. H.,1978, “Prices of state-contingent claims implicit in option prices”, Journal of Business 51(4): 621–651.
5.Bates, D. S., 1991, “The Crash of ’87: Was it Expected? The Evidence from Options Markets”, Journal of Finance 46, 1009-1044.
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8.Hull, J. C., 2000, “Options, Futures, and Other Derivatives”, 4th edn, Prentice Hall, New Jersey.
9.Jackwerth, J. C. and M. Rubinstein, 1996, “Recovering Probability Distributions from Option Prices”, Journal of Finance 51, 1611-1631.
10.Jackwerth, J. C., 1999, “Option implied risk-neutral distributions and implied binomial trees: A literature review”, Working paper, University of Wisconsin.
11.Jondeau, E. and M. Rockinger, 1998, “Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities”, Working paper, Centre for Economic Policy Research, London.
12.Malz, A. M., 1997, “Estimating the probability distribution of the future exchange rate from option prices”, Journal of Derivatives 5(2): 18–36.
13.Melick, W. R. and C.P. Thomas, 1997, “Recovering an Asset’s Implied PDF from Option Prices: An Application to Crude Oil During the Gulf Crisis”, Journal of Financial and Quantitative Analysis 32, 91-115.
14.Shimko, D., 1993, “Bounds of Probability”, Risk 6, 33-47.
15.Soderlind, P. and L.E.O. Svensson, 1997, “New Techniques to Extract Market Expectations from Financial Instruments”, Journal of Monetary Economics 40, 383-429.
16.Stig Arild Syrdal, 2002, “A Study of Implied Risk-Neutral Density Functions in the Norwegian Option Market”, Working paper, Norges Bank
17.胡力仁,民國90年六月,”利用局部波動度模型解決微笑現象”,國立台灣大學財務金融學研究所碩士論文。
18.于學明,民國90年六月,”Implied Probability Distribution from Transaction Data:The Case of Taiwan Warrant Market”, 國立台灣大學財務金融學研究所碩士論文。

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