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研究生:傅正輝
研究生(外文):Fu,chenghui
論文名稱:波動率預測與選擇權交易策略
論文名稱(外文):Volatility forecasting and option trading strategy
指導教授:蔡麗茹蔡麗茹引用關係
指導教授(外文):Tsai,liju
口試委員:陳明道韓南偉
口試委員(外文):Chen,mingtaoHan,nanwei
口試日期:2011-06-01
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融與國際企業學系金融碩士班
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:2011
畢業學年度:99
語文別:中文
論文頁數:41
中文關鍵詞:Black-Scholes選擇權評價模型ARIMA模型台指選擇權波動率指數GARCH模型隱含波動率
外文關鍵詞:Black-Scholes option pricing modelARIMA modelOptions volatility index of TaiwanGARCH modelImplied volatility
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論文題目:波動率預測與選擇權交易策略
校(院)系所組別:輔仁大學金融與國際企業學系金融碩士在職專班
研究生:傅正輝
指導教授:蔡麗茹
論文頁數:41頁
關鍵字:Black-Scholes選擇權評價模型、ARIMA模型、台指選擇權波動率指數、GARCH模型、隱含波動率、跨式交易策略
Black-Scholes選擇權評價模型中,因其假設波動率為固定,然而實際市場上資產價格的波動往往會隨著時間改變而有變化,因此本文嘗試利用預測波動率的變動來尋求進場點,來執行選擇權的交易策略,並分析其報酬的變化。首先要如何預測波動率?本文採用三種的預測模型如下:
1.ARIMA模型來預測台指選擇權波動率指數(vix指數)。
2.GARCH模型來預測出台指期波動率。
3.隱含波動率本身的預測效果。
當預測出波動率時,本文取波動率的變動為一門檻,而門檻是取機率分配的一個標準差,當大於門檻則進場買進,當變動率為負向時則出場。而交易策略則採用買方的跨式交易策略。另一方面,根據資產價格走勢與其波動間常存在著反向的關係,故本文擬加入此兩者間反向關聯性之訊息以提高投資策略之獲利。當預期正變動時,買進價平賣權,反之買入買權。
根據兩交易策略結果,分析其報酬,並比較出三種模型何者預測較為合適,何者策略是可獲取不錯的報酬。


Title of thesis:Volatility forecasting and option trading strategy
Department of Finance and International Business(Master’s Program in Finance) Fu Jen University
Student:Fu,chenghui
Advisor:Tsai,liju
Total pages:41
Key word:Black-Scholes option pricing model、 ARIMA model、Options volatility index of Taiwan、GARCH model、Implied volatility、Straddle
The volatility in the Black-Scholes option pricing model is commonly assumed constant.However, the actual volatility of asset prices in the market often changes over time. Thus, this article tries to use the predicted values of volatility to seek the entry time of the implementation of options trading strategies and to investigate their profits. In this paper, we adopt three methods to predict the volatility. They are as follows:
1.using ARIMA model to predict the options volatility index (vix index) of Taiwan .
2.employing GARCH model to predict the volatility of the Taiwan stock index.
3. directly using implied volatility itself as the prediction of volatility.
After predicting the volatility, this article investigates the performances of two trading strategies. The first strategy is buying a straddle when the changes of the predicted volatility are greater than some threshold values, such as one or two standard deviations, etc.; and clearing the position when the changes of the predicted volatility are lower than some threshold values. The second strategy is to execute the trading by utilizing the information that asset prices are often negatively correlated with their volatilities It is buying a put option when the changes of the predicted volatility are greater than some threshold values and buying a call option on the contrary.This article compares among the different combinations of the above two trading strategies with three volatility predicting model to investigate which one is the most profitable.

目錄
摘要…………………………………………………………………………I
Abstract.............................................II
致謝………………………………………………………………………….III
目錄………………………………………………………………………….IV
第一章 緒論…………………………………….…………………………1
第一節 研究背景與動機………………………………………………..1
第二節 研究架構…………………………………………………………3
第二章 文獻探討……………………………….……………………....5
第一節 波動度相關文獻………………………………………………….5
第二節 波動率預測與選擇權交易策略………………………………6
第三章 研究方法……………………………………………………….8
第一節 B-S隱含波動率及VIX 指數之編制………………………8
第二節 波動度的預測模型……………………………………………..11
第三節 選擇權交易策略與機制……………………………………….17
第四章 實證結果……………………………………………………....20
第一節 模型預測結果…………………………………………………..20
的二節 預測結果之選擇權交易報酬比較………………………….28
第五章 結論與建議…………………………………………….….34
第一節 結論…………………………………………………………….…34
第二節 建議……………………………………………………………….35
參考文獻……………………………………………………………………….…36
附錄…………………………………………………………………………………39

中文參考文獻:
林敦舜 (2002),台灣認購權證評價之研究-探討二項式及三項式樹狀模型之評價 差異。國立交通大學經營管理研究所碩士論文。檢自全國博碩士論文摘要檢索系統。
胡僑芸,2002,“臺指選擇權VIX指數之編制與交易策略分析”。碩士論文,國立中山大學財務管理學系研究所。

范懷文、高子劍、柯政宏(2004),「CBOE 新編VIX 指數於台指選擇權及實
現波動度預測上之應用」,《台灣期貨與衍生性商品學刊》,第2 期,122-154。

楊懷慈 (2008),「台灣指數選擇權結算前最佳獲利策略之研究」,銘傳大學財
務金融學系碩士在職專班碩士論文。

廖宏盛 (2005),「隱含波動率之研究」,台中健康暨管理學院經營管理研究所
碩士論文。

台灣期貨交易所 www.taifex.com.tw

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