以變動波幅的波動性為基礎之選擇權定價 : 臺指選擇權之實證研究

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Title:	以變動波幅的波動性為基礎之選擇權定價 : 臺指選擇權之實證研究
Other Titles:	The option pricing based on range based volatility : evidence from the taifex stock index options
Authors:	鄭堯文;Cheng, Yao-Wen
Contributors:	淡江大學財務金融學系碩士班李沃牆;Lee, Wo-Chiang
Keywords:	Black-Scholes選擇權評價模型;Range Based Volatility;隱含波動性;Black-Scholes option pricing;Range Based Volatility;Implied volatility
Date:	2012
Issue Date:	2013-04-13 10:49:42 (UTC+8)
Abstract:	波動性是衍生性商品訂價及風險管理的重要因子。本研究以不同的波動性來探討台指選擇權的定價，在實證上以距到期日不同期間(10天、30天、60天)以及價內程度(價內、價平、價外)之臺指選擇權及台灣加權指數為標的。而波動性模型係以Range Based Volatility為基礎來預測，並與其他波動性模型比較。接著再利用不同波動性模型下產生出來的值針對偏誤性及效率性進行檢定。實證結果顯示，在檢驗波動性之偏誤方面，以Range Based Volatility之AV-α(Asymmetric Autoregression Volatility Model)波動性預測最為精準。 Volatility is the most factor for derivative pricing and risk management. This study discusses the option pricing based on different volatility models. In empirical study, we apply different mutuality options (includes 10 days, 30 days&60 days) and the moneyness (in the money, at the money, out the money) of the Taiwan stock index Options, and Taiwan''s weighted index. The volatility model is based on the Range Based Volatility　and compare with other volatility models. We further to test the bias and efficiency of predication. Empirical study shows that , the asymmetric autoregression volatility model is the most accurate model among the the range based volatility models.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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