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研究生:蔡昆龍
研究生(外文):Tsai Kun-Lung
論文名稱:探討台指選擇權波動度微笑成因之研究
論文名稱(外文):Determinants of the Volatility Smile: Evidence from the TAIEX Option
指導教授:潘璟靜潘璟靜引用關係吳土城吳土城引用關係
指導教授(外文):Pan Ging-GinqWu Tu-Cheng
學位類別:碩士
校院名稱:國立屏東科技大學
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:2009
畢業學年度:97
語文別:中文
論文頁數:37
中文關鍵詞:隱含波動度波動度微笑淨買壓假說
外文關鍵詞:Implied volatilityVolatility smileNet buying pressure hypothesis
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本研究利用迴歸模式之隱含波動度函數,建構描述台指選擇權波動度微笑之時間序列,並利用台指選擇權市場中供給與需求不平衡的情況,進一步探討投資者行為是否為造成波動度微笑的成因之一。實證結果發現,所配適出的隱含波動度函數的確存在微笑現象。再者,以考慮了微笑曲線斜率與曲度的兩大因素模型,最能解釋台指選擇權隱含波動度的變化。隨後本研究也透過複迴歸分析發現選擇權淨買壓是能有效捕捉台指選擇權微笑曲線高低起伏的變化。
This paper uses regression analysis to discuss volatility smile of the option market in Taiwan. We also investigate the supply and demand imbalance of the option market in Taiwan and investigate if investment behavior influences volatility smile.
The results of empirical test find that implied volatility function exists volatility smile phenomenon. Further, both the slope of volatility smile and the curvature of volatility can explain TXO smile phenomenon. Finally, the results of multiple regressions suggest that net buying pressure can capture successfully the pattern of volatility smile shape successfully.
摘要................................................................................................................I
Abstract.......................................................................................................II
謝誌.............................................................................................................III
目錄.............................................................................................................IV
圖表索引.....................................................................................................VI
第壹章 緒論..............................................................................................1
第一節 研究動機.....................................................................................2
第二節研究目的.....................................................................................3
第貳章文獻回顧.........................................................................................4
第一節 Black and Scholes 模型..............................................................4
第二節波動度微笑的可能成因.............................................................5
第參章研究方法........................................................................................11
第一節 隱含波動度的估計方法............................................................11
第二節每日隱含波動度曲線的配適...................................................12
第三節價內外程度的分類、淨買壓的衡量與delta值計算...............15
第四節迴歸模型之建立.......................................................................20
第五節資料來源與選取.......................................................................22
1
第肆章實證結果與分析...........................................................................25
第一節 微笑現象的估計與檢定...........................................................25
第二節波動度微笑決定因素之分析...................................................28
第伍章結論...............................................................................................33
參考文獻.....................................................................................................34
作者簡介.....................................................................................................37
中文部分:
施雅菁 (2002),小型台指期貨價格發現之研究,淡江大學系金融碩士班。
林士權﹙2004﹚,台指選擇權隱含波動性與選擇權內生參數及外生參數之關聯性,南華大學財務管理研究所碩士論文。
曹立杰 (2008),以套利策略探討台指隱含波動度微笑現象,國立屏東科技大學財務金融研究所論文。
英文部分:
Bakshi, G., Cao, C., and Chen, Z.(1997) “Empirical performance of
alternative option pricing models.” Journal of Finance, 52,pp.
2003-2049
Bates, David S., 2000, Post-’87 crash fears in the S&P 500 futures options
market, Journal of Econometrics 94, 181–238.
Black, F., and Scholes, M.(1973)“The pricing of options and corporate
liabilities.” Journal of Political Economy, 81, 637-659.
Bollen, N,, and R. Whaley. "Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?"Journal of Finance, 59 (2004), 711-753,
Cox, John C., and Stephen A. Ross, (1976), The valuation of options for alternative stochastic processes, Journal of Financial Economics 3, 145–166.
Das, S., and Sundaram, R. (1999) “Of smiles and smirks: a term-structure perspective.” Journal of Financial Quantitative Analysis, 34, 211-239.
Dumas, Bernard, Jeff Fleming, and Robert E. Whaley, 1998, Implied volatility functions: Empirical tests, Journal of Finance 53, 2059–2106.
Emanuel, D.C., and Macbeth, J.D. (1982) “Further results on the constant elasticity of variance call option pricing model.” Journal of Financial Quantitative Analysis, 4, 533-554.
Ederington, L., and W. Guan (2005). “The information frown in option prices.” Journal of Banking and Finance,29,pp.1429-1457.
Hull, J., and White, A. (1987)“The pricing of option on assets with stochastic volatilities. ” Journal of Finance, 42, 281-300
Heston , S.,1993,”A Closed Form Solution for Options with Stochastic
Volatility with Application to Bond And Currency Options”,
Review of Financial Studies
Merton, R. C.,1976,”Option Pricing when Underlying Stock returns are Discontinuous”, Journal of Financial Econonomics
Longstaff , F., 1995. Option pricing and the martingale restriction. Review of Financial Studies 8,1091-1124.
Lehmann, B., Modest, D., 1994. Trading and liquidity on the Tokyo Stock Exchange: A bird's eye view. Journal of Finance 49, 951-984.
Longstaff F. A., (1995). “Option Pricing and the Martingale Restriction,” The Review of Financial Studies, Vol.8, 1091-1124
Macbeth, J.D., and Merville , L. J. (1979) “An empirical examination of the
Black-Scholes call option pricing model.” Journal of Finance, 34,1173-1186.
an~Pe,Rubio, and Serna (1999) “Why do we smile ? On the determinants of the implied volatility function.” Journal of Banking &Finance 23(1999) 1151-1179.
Newey, W. K., and West, K. D. (1987) “A sample, positive semi-definite,
heteroscedasticity and autocorrelation consistent covariance
matrix.” Econometrica , 55,703-708.

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