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研究生:陳建男
研究生(外文):Chien-Nan Chen
論文名稱:Black-Scholes評價模型下之預測波動率─以台指選擇權為例
論文名稱(外文):Forecasting Volatility for Black-Scholes Option Pricing Model for TAIEX Options
指導教授:王明隆王明隆引用關係
指導教授(外文):Ming-Long Wang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:財務金融研究所
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:2006
畢業學年度:94
語文別:中文
論文頁數:45
中文關鍵詞:台指選擇權隱含波動率選擇權評價
外文關鍵詞:VolatilityTXOOption pricing
相關次數:
  • 被引用被引用:6
  • 點閱點閱:570
  • 評分評分:
  • 下載下載:142
  • 收藏至我的研究室書目清單書目收藏:5
本研究目的是使用波動率模型來計算台指選擇權的價格,並探討最適合評估台指選擇權價格之波動率模型。本研究使用歷史波動率、GARCH(1,1)、隱含波動率、Vega加權平均隱含波動率以及結合GARCH波動率和Vega加權隱含波動率計等六種波動率模型來估計波動率,再代入Black-Scholes選擇權評價模型計算其理論價格。接著藉由價格誤差衡量指標來衡量理論價格與市場價格之價差大小,最後配合迴歸分析,以找出評估績效表現最佳之波動率模型。實證結果如下:
1.不論是買權或賣權,隱含波動率模型通常比時間序列波動率模型的MAE、RMSE估計誤差值小。
2.以各模型來分析,隱含波動率為較佳的波動性模型,其中合GARCH波動率和Vega加權隱含波動率模型不論在任何組別下,幾乎都是誤差指標值最小的模型,但買權隱含波動率模型表現最差。
The purpose of this study is to estimate option prices by using alternative volatility models to find out which volatility model is the most suitable for evaluating the TXO. In this paper six models are used to estimate the volatility and the estimated value are incorporated into the Black-Scholes option pricing model to calculate the theoretical prices. Furthermore, the difference between the theoretical price and market price is calculated using the statistical error measures to find the optimum volatility model. The results show that (1) No matter call option or put option, the estimated statistical error of implied volatility model is smaller than time series volatility. (2) For all models, implied volatility is the better volatility model, above all, VGIV is the best model, but the implied volatility of call option is the worst model.
第一章 研究動機              1
第二章 參考文獻              2
第一節 台指選擇權             2
一、台指選擇權市場             2
二、手續費                 4
三、交易稅                 5
四、保證金                 5
五、交易規範                5
第二節 Black-Scholes選擇權評價模型     7
第三節 選擇權波動率文獻之回顧       9
一、波動率模型演進簡介           9
二、波動率模型對於未來真實波動率之預測能力 13
三、不同波動率模型下之價格誤差分析     12
第三章 研究方法              17
第一節 波動率模型             18
一、已實現波動率              18
二、時間序列波動率模型           19
三、隱含波動率模型             22
第二節 波動率模型預測能力衡量       25
一、價格誤差衡量指標            25
二、迴歸模型                27
第四章 實證結果              29
第一節 資料整理              29
一、台灣加權股價指數            29
二、台指選擇權               29
三、無風險利率               31
四、交易成本                31
第二節 各波動率模型的基本分析       32
第三節 各波動率模型的單根檢定       33
第四節 波動率模型之迴歸分析        34
第五節 台指選擇權之評價檢定        36
第五章 結論與建議             39
第一節 波動性模型之比較結果        39
第二節 結論                41
一、對實務界的建議             41
二、對後續研究的建議            41
參考文獻                  43
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