臺灣博碩士論文加值系統

本文使用Variance Gamma Process 與 快速傅立葉轉換計算FTSE 100指數買權價格。我們以交易日-定價誤差-利潤、指數報酬-定價誤差-利潤、履約價格-定價誤差-利潤、價內外--定價誤差-利潤、未平倉量-定價誤差-利潤這五種關係來預測交易的利潤。我們發現假如定價正誤差愈大則買入買權的利潤愈大，定價負誤差愈大或定價誤差愈小，則賣出指數買權的利潤愈大。
我們同時使用迴歸分析、根平均平方誤、平均絕對誤來檢測模型是否適當。結果為模型價格對觀察到的價格偏誤。

We use Variance Gamma Process and Fast Fourier Transform to calculate the FTSE 100 index call option price. We examine trading day-pricing errors-profits, FTSE 100 index returns-pricing errors-profits, strike prices-pricing errors-profits, moneyness-pricing errors-profits, and open interest -pricing errors-profits to forecast profits in above five relationships. We find that if pricing error is more larger in minus, we can get more profit by buying call option. Alternatively, if pricing error is samll or larger in positive, we can get profit by selling call option.
We also examine the model performance by regression analysis , root mean squared error (RMSE), and mean absolute error (MAE). We find the model is biased for the constant coefficient is not equal to 0. The RMSE and MAE are not approach to 0, the model price is biased from observed price.

Table of Contents
Acknowledgements iv
Abstract 1
Ⅰ. Introduction 1
Ⅱ. Model Specification 5
Ⅲ. Data Description 11
Ⅳ. Estimation Procedures 12
Ⅴ. Empirical Results 14
Ⅵ. Testing Model Performance 17
Ⅶ. Conclusions 19
References 20
List of Tables
Table Ⅰ. Mean, standard deviation, skewness, and kurtosis of S&P 500,
FTSE 100, DAX 100, and NIKKEI 225 indices’ log return from
January 2000 to June 2005 23
Table Ⅱ. Summary Statistics of FTSE 100 call Option Data Sample 23
Table Ⅲ. Parameters Estimates 24
Table Ⅳ. Trading Day, Pricing Errors, and Profits 25
Table Ⅴ. FTSE 100 Return, Pricing Errors, and Profits 26
Table Ⅵ. Strike Price, Pricing Errors, and Profits 27
Table Ⅶ. Moneyness, Pricing Errors, and Profits 28
Table Ⅷ. Open Interest, Pricing Errors, and Profits 29
Table Ⅸ. Dailey FTSE 100 Returns, Pricing Errors ,and Profits 30
Table Ⅹ. FTSE 100 Index Call Option Trading Strategies According to
Empirical Results 31
List of Figures
Figure Ⅰ. The Relationship among Trading Day, Pricing Errors and Profits 25
Figure Ⅱ. The Relationship among FTSE 100 Returns, Pricing Errors
and Profits 26
Figure Ⅲ. The Relationship among Strike Prices, Pricing Errors and Profits 27
Figure Ⅳ. The Relationship among Moneyness, Pricing Errors and Profits 28
Figure Ⅴ. The Relationship among Open Interest, Pricing Errors and Profits 29

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