由實證結果得知，臺指選擇權之波動度結構與基底變數T(-1/2)．ln(K/F)間的關係比較顯著，以每一個交易日分別估計結果及所産生理論價格進行比較，其在各項驗證評估標準中表現為最好。以該方式所決定之結算價也比現行決定方式産生之結算價，更接近市場之交易範圍。 The objective of this thesis is trying to determine the suitable settlement prices of non-active series of Index options. The main two types of implied volatility functions adopted for the application are the base-variable model and strike price, time to maturity models. In regards to the forecasting method, OLS is used for parameterized estimation. The parameters of models are applied for calculating the volatilities and theoretical prices of non-active series of the options. Finally, four testing indicators are adopted to measure forecasting performance of those models.
The empirical evidence shows that term structure of implied volatility of the TAIEX options is the most correlated with the base-variable models. Observing estimated results of every trading day, base-variable model has better performance than other models in the four testing indicators.