English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49962/85138 (59%)
Visitors : 7790722      Online Users : 80
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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。

    實證中分別採取基底變數模型及履約價、離到期日時間變數模型等兩大類隱含波動度函數類型作為應用模型,採用普通最小平方法OLS之計量方法估計模型參數,並利用該參數估計不活絡選擇權序列之波動度及理論價格。最後依據四項驗證評估標準,做為預測能力之指標。

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

    Files in This Item:

    File SizeFormat
    0KbUnknown169View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback