臺灣博碩士論文加值系統

Black and Scholes (1973)發表選擇權評價模型，傳統選擇權定價模型的波動度皆為固定，而市場上我們觀察到的實際波動度卻並不是固定的，由此可知市場價格與傳統理論價格有異，本研究加入情緒因子來觀察隱含波動微笑的解釋度，研究期間為2007年5月23日到2011年4月27日共180筆交易日資料。
Duan(1995)將GARCH模型應用在選擇權評價中，結果顯示模型可以修正B-S選擇權評價法的偏誤，其研究發現大部分金融資產都有厚尾現象，厚尾的情形可能來自於波動度隨機性或極端次數發生過多，而偏態如果左偏則代表下方風險較上方風險大，右偏則是相反情形，本研究加入RR及BS做為偏態及峰態的代理變數，來觀察與RR及BS(波動微笑的形狀的代理變數)的因果關係。
本研究採用因果關係檢定及複回歸分析來觀察情緒因子對隱含波動微笑的影響。參照Deuskar et al(2008)使用兩個代理變數RR ( risk reversal ) 跟 BS ( butterfly spread )，RR為深度價內與深度價外之差，代表的是不對稱的衡量，也就是微笑是左偏或右偏的情形，而BS則是深度價內與深度價外的平均與價平的差，為微笑曲度跟斜率的衡量，代表的是微笑的峰態情形，數值越大則代表極端現象越多。考慮到能源市場遇到重大事件而造成即期價格產生劇烈波動的情況，最後比較金融風暴前後之回歸檢定以探討情感因子是否能影響石油期權隱含波動微笑。

Black and Scholes (1973) published an option model, traditional option pricing model’s volatility are all constant, the actual volatility in the market that we observed is not constant, traditional option pricing model’s volatility is different with the real volatility, in this study, the emotional factor is added to observe the interpretation of the implied volatility smile, we analyze the 180 events during the period May 23, 2007 to April 27, 2011.
Duan (1995) used GARCH model to evaluate the option, the results show that the B-S model can be corrected by GARCH model, the research found that most financial assets have fat tails, fat tails circumstances may come from random fluctuations or extreme events occurs too much, left-skewed represents that the downside risk is more than the upper risks, right-skewed is the opposite circumstances, in this study RR and BS was added as proxy variable of skewness and kurtosis, the causality test was used to observe the relationship between RR and BS with the variables.
In this study, causality test and multiple regression analysis are used to investigate the effects of emotional factors on the implied volatility smile. Referring Deuskar et al (2008) use two proxy variables RR (risk reversal) and BS (butterfly spread), RR is depth in the money options difference between depth out of the money options, RR represents a measure of the asymmetry, BS is average depth in the money options with depth out of the money options, compared with at the money options, BS measure the slope with a smile curvature. it represents a measure of the kurtosis, greater kurtosis represents the more extreme events. This study also considered the volatility of the spot price in the energy market in the case of major event, regression test is used to investigate whether emotional factors can affect oil option implied volatility smile in financial crisis and non- Financial crisis.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文架構 3
第二章 文獻探討 4
第一節 石油期貨與石油期貨選擇權 4
第二節 投資者情緒 5
第三節 情緒指標定義 6
第四節 波動度微笑 11
第三章 研究方法 13
第一節 資料來源 13
第二節 模型與假設 13
第三節 隱含波動偏態峰態模型 14
第四節 影響石油選擇權波動微笑的因子 14
第四章 實證分析 17
第一節 敘述統計 17
第二節 相關性分析 18
第三節 變數之單根檢定 19
第四節 因果關係檢定 20
第五節 迴歸分析 24
第五章 結論 29
參考文獻 31

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