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研究生:呂哲瑜
研究生(外文):LYU, JHE-YU
論文名稱:剖析選擇權時間價值遞減和選擇權標的資產市場狀態的關聯性
論文名稱(外文):Dissecting Decaying Time Value of Options with respect to Market States of the Underlying Assets
指導教授:陳安行陳安行引用關係
指導教授(外文):Chen An-Sing
口試委員:廖則竣鄭揚耀
口試委員(外文):Liao Che-chenCheng, Lee-Young
口試日期:2017-06-12
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融系研究所
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:2017
畢業學年度:105
語文別:英文
論文頁數:83
中文關鍵詞:選擇權時間價值遞減選擇權時間價值布林通道
外文關鍵詞:Option Time DecayOption Time ValueBry BoschanBollinger Bands
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This thesis proposes a different methodology to measure the speed with which an option’s time value approaches zero as the time to maturity T vanishes other than the Greek letter theta: the slope of a fourth-order polynomial fitted line implied from a term decay plot which plots the log of option price against the log of time to maturity. I hypothesis that when the market state of the underlying asset of options is bullish, the time value of put options decreases faster whereas when the market state of the underlying asset of options is bearish, the time value of call options decreases faster. Three methodologies are used to proxy for the market states of the underlying asset of options including past returns of the underlying asset price, Bry Boschan dating algorithm to classify the market into bull or bear, and Bollinger Bands to classify the market into bull, bear, or mean-reversion. We find international evidence that the hypothesis holds for the index options across countries including Taiwan, Hong Kong, South Korea, Japan, and Malaysia. The empirical results have huge implication for options trading and hedging in that they can construct better trading or hedging strategies by taking advantage of these findings.
I. Introduction .............................................................1
II. Related Literature ......................................................4
III. Methodology ............................................................4
IV. Data and Summary Statistics ............................................15
V. Empirical Results........................................................54
VI. Robustness tests .......................................................78
VII. Conclusion ............................................................80
References .................................................................82
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Candelon, Bertrand, Jan Piplack, and Stefan Straetmans. "On measuring synchronization of bulls and bears: The case of East Asia." Journal of banking & finance 32.6 (2008): 1022-1035.

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Figlewski, Stephen, and Steven Freund. "The pricing of convexity risk and time decay in options markets." Journal of banking & finance 18.1 (1994): 73-91.

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Hlavac, Marek (2015). stargazer: Well-Formatted Regression and Summary Statistics Tables.

John C. Hull, Options, Futures, and Other Derivatives. Boston: Pearson Education, 2011, p.387-388

Nyberg, Henri. "Predicting bear and bull stock markets with dynamic binary time series models." Journal of Banking & Finance 37.9 (2013): 3351-3363.

Pagan, Adrian R., and Kirill A. Sossounov. "A simple framework for analyzing bull and bear markets." Journal of Applied Econometrics 18.1 (2003): 23-46.

Peter Carr and Liuren Wu, “What type of process underlies options? A simple robust test,” the Journal of Finance, vol. LVIII, no. 6 • December 2003

Wan-Jung Hsu, “Predicting and Capitalizing on Two Types of Stock Bear Markets in the U.S,” Ph.D. dissertation, University of Washington, 2017.
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