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研究生:藍森田
研究生(外文):LAN,SEN-TIAN
論文名稱:無模型設定隱含波動度之實證研究:以歐洲美元期貨選擇權為例
論文名稱(外文):An Empirical Studies of the Model-Free Implied Volatility-use Eurodollar futures option
指導教授:郭一棟郭一棟引用關係王凱立王凱立引用關係
口試委員:楊踐為林霖
學位類別:碩士
校院名稱:東海大學
系所名稱:財務金融學系
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:2010
畢業學年度:98
語文別:中文
論文頁數:44
中文關鍵詞:無模型設定隱含波動度HJM模型隱含波動度歐洲美元期貨選擇權結構性轉變資訊內涵
外文關鍵詞:Model-Free Implied VolatilityHJM Implied VolatilityEurodollar futures optionstructural breaksinformation content
相關次數:
  • 被引用被引用:0
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  • 下載下載:41
  • 收藏至我的研究室書目清單書目收藏:1
Britten-Jones and Neuberger(2000)推導出當標的資產價格在服從擴散過程假設之下的無模型設定的隱含波動度模型。Jiang and Tian(2005)進一步的將無模型設定隱含波動度推廣,當標的資產價格在服從跳躍-擴散過程假設之下的無模型設定的隱含波動度模型。本文主要根據Jiang and Tian (2005)將無模型設定的隱含波動度應用在S&P500指數選擇權的方法,改以CBOE VIX White Paper (2009)計算VIX指數方式求算無模型設定的隱含波動度,並應用HJM模型反求隱含波動度,以觀察無模型設定的隱含波動度應用在利率選擇權上是否能有相同效果,而本文以歐洲美元期貨選擇權為研究對象檢驗隱含波動度的預測能力及其所包含的資訊,結果發現由歐洲美元期貨選擇權所算出的隱含波動度沒有Jiang and Tian (2005)使用S&P500指數選擇權的預測能力高,而無模型設定隱含波動度相對歷史波動度仍具有資訊效率性但無法包含所有HJM隱含波動度資訊,卻包含所有歷史波動度的資訊,且無模型設定隱含波動度相對HJM隱含波動度不具資訊效率性。而在考慮結構性轉變之後,HJM隱含波動度反而包含了未來波動度的重要資訊,且在結構性轉變後之HJM隱含波動度同時包含所有無模型設定隱含波動度資訊及歷史波動度的資訊。
Britten-Jones and Neuberger(2000)derived the model-free implied volatilities under the assumption that the price of underlying asset follows diffusion process. Jiang and Tian(2005)further extend the above model-free implied volatility to asset price process with jumps and develop a simple method for implementing the model-free implied volatility. This paper follows CBOE VIX White Paper (2009) calculated VIX as model-free implied volatilities instead of Jiang and Tian (2005) derived model-free implied volatilities from S&P500 index options. We want to know whether the model-free implied volatilities have the same effect in interest rate options or not? In addition, we perform a direct test of the informational efficiency of interest rate options market using model-free implied volatilities.
Our results from Eurodollar futures options suggest that model-free implied volatilities can not subsume all information contained in the HJM implied volatilities and are not more efficient forecast for future realized volatilities. However, model-free implied volatilities can subsume all information contained in past realized volatilities.
We further considered the structural breaks. After structural breaks HJM implied volatilities subsume all information contained in model-free implied volatilities and past realized volatilities and are more efficient forecast for future realized volatilities.

摘要 I
Abstract II
目錄 III
表目錄 IV
圖目錄 IV
第壹章 緒 論 1
第一節、研究動機 1
第二節、研究目的 5
第貳章 相關文獻探討 7
第一節、隱含波動度相關文獻 7
第二節、結構性轉變相關文獻 10
第參章 研究方法 12
第一節、無模型設定的隱含波動度 12
第二節、HJM隱含波動度 15
第三節、已實現波動度和歷史波動度 16
第四節、結構性轉變檢定 17
第肆章、實證結果分析 20
第一節、研究樣本與資料來源 20
第二節、樣本分析 21
第三節、隱含波動度的內含資訊 23
第四節、迴歸分析模型 24
第五節、波動度預測模型的實證分析 25
第六節、結構性轉變檢定之實證分析 33
第伍章、結論 39
參考文獻 41


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