臺灣博碩士論文加值系統

本篇利用Breeden and Litzenberger(1978) 結合Bliss and Panigirtzoglou (2004)的方法估計市場對S&P500的風險態度及預測價格。此方法的特色為不對標的物價格機率分配做假設只假設市場代表人的效用函數形式及其在不同時點是穩定的，接著利用選擇權價格及利率等相關資料即可得到市場對標的物未來價格的預測分配。本篇還嘗試比較選擇權價內外資料的差異及此對於模型的影響。

This study is focus on estimating the market's risk attitude towards S&P500 and predicting the price with the method combining Breeden and Litzenberger (1978) and Bliss and Panigirtzoglou (2004). The feature of this method is that it does not make assumptions about the probability distribution of the S&P500 price, but only assumes a stable utility function form of the market representative, and then use relevant data such as option price and interest rate to get the future price probability distribution. This study also attempts to infer how the moneyness of the options impacts on the model and compare the difference.

論文口試委員審定書 i
謝辭 ii
中文摘要 iii
英文摘要 iv
目錄 v
圖目錄 vi
表目錄 vi
第一章 緒論 1
第一節 研究動機與目的 1
第二節 文獻回顧 2
第二章 資料 4
第三章 研究方法 5
第一節 內插波動率 5
第二節 求出風險中立分配 6
第三節 轉換成風險趨避分配 9
第四章 實證結果 12
第五章 結論 18
參考文獻 19

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