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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31623

    Title: 臺股指數選擇權每日結算價格之決定方式 : 隱含波動度函數之應用
    Other Titles: 台股指數選擇權每日結算價格之決定方式 : 隱含波動度函數之應用
    The method of determining daily settlement prices of the taiex options : application of the implied volatility functions
    Authors: 黃聖凱;Huang, Sheng-kai
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang
    Date: 2005
    Issue Date: 2010-01-11 01:03:50 (UTC+8)
    Abstract: 本文試圖為交易不活絡的選擇權序列訂出適當的每日結算價格,選擇權理論價格主要受波動度參數之影響,本文應用不同之隱含波動度函數,試圖找出最適合國內選擇權市場之波動度決定方式。


    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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