臺灣博碩士論文加值系統

本文主要目的在於探討台指選擇權之隱含風險中性機率密度函數的特性，我們採用Black模型、LAP的定價模型、Corrado and Su選擇權定價模型、非對稱的對數卡方模型以及混合常態模型進行實證研究。在這些模型的實證分析裡，我們進行了樣本內及樣本外的測試，進行各個模型的績效分析，此外，更針對各個模型中的避險績效進行比較，試圖提供一個在Black-Scholes的定價模型之外，更適當的選擇權定價模型，以利投資者在進入選擇權市場時，在評價上的一個重要指標參考模型。

The main point is to discuss the character of the implied risk neutral probability density functions about the Taiwan stock index option market. We adopt the Black option pricing model, LAP option pricing model, Corrado and Su option pricing model, asymmetry ch-square option pricing model, and the mixed normal option pricing model to undertake our empirical test. In the empirical analysis about these models, we undertake the in-sample analysis and the out of sample analysis to compare the pricing performance among these option pricing models. In addition, we undertake the analysis of the hedging performance about these option pricing models. We attempt to provide investors one of the best option pricing models so that investors can use the option pricing model to proceed pricing and hedging in the option market.

目錄：
第一章、緒論..............................................................1

第二章、文獻探討
第一節、 隱含風險中性機率密度函數之理論背景...............................5
第二節、 隱含風險中性機率密度函數之文獻整理...............................8

第三章、資料整理
第一節、 資料來源........................................................12
第二節、 資料篩檢標準....................................................14

第四章、研究方法與模型描述
第一節、 Black-Scholes選擇權定價模型與Black模型..........................15
第二節、 選擇權定價模型與其風險中性機率密度函數介紹......................17
第三節、 風險中性機率密度函數參數估計的方法..............................26
第四節、 模型配適度之衡量................................................27

第五章、實證結果
第一節、 模型參數估計值之敘述統計量......................................30
第二節、 模型之定價分析..................................................34
第三節、 避險誤差分析....................................................35

第六章、結論與後續建議...................................................37

附錄一：實證表格.........................................................39
文獻參考.................................................................58

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