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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59962


    Title: VIX 選擇權之評價及其隱含波動度之探討
    Valuation and implied volatility of VIX options
    Authors: 黃暐能
    Contributors: 陳威光
    黃暐能
    Keywords: VIX 選擇權
    隱含波動度
    笑狀波幅
    Date: 2010
    Issue Date: 2013-09-04 10:06:35 (UTC+8)
    Abstract: CBOE於2006年2月推出了VIX選擇權，本論文利用2006年2月24日至2010年6月30日的VIX選擇權資料，計算出其隱含波動度，結果發現VIX選擇權的隱含波動度具有以下性質：(1)隱含波動度隨著價內外程度的提高而上升，故其笑狀波幅大致呈現由左下至右上的型態；(2)隱含波動度隨著到期時間的減少而上升，愈長期的合約平均來說隱含波動度愈低；(3)隨著到期時間的減少，笑狀波幅的斜率更為增加，即隨著到期日的接近，微笑波幅更為陡峭，價內和價外選擇權的隱含波動度的差距加大；(4)VIX和VIX的波動度具有正向的不對稱關係，即VIX的上漲將使VIX波動度上升，且VIX上漲使VIX波動度上升的幅度大於VIX下跌使VIX波動度下降的幅度。
    VIX選擇權中，除了價內外程度，到期時間也扮演著相當重要的角色。不論是從樣本內的配適度或是從評價結果來看，加入到期時間因子後，誤差都有大幅的改善，顯示到期時間對於評價選擇權價格很重要，以價內外程度和到期時間作為解釋變數的模型在評價上擁有最高的準確度，而且評價誤差相當穩定，在各個年度當中並沒有明顯的落差。
    而本文最佳的模型與Wang & Daigler (2011)使用過去各個模型得到的評價誤差作比較，即便和Wang認為最佳的Whaley模型相比，誤差仍然勝過Whaley模型，因此我們可以推論市場上的交易者或許仍然是採用較簡單的方式來評價選擇權，而非透過類似Lin & Chang此類複雜的模型。
    Reference: Borovkova, S and Permana, F.J. (2009). “Implied Volatility in Oil Markets.”
    Computational Statistics and Data Analysis, 53, 2022-2039.
    Bourke, P. (1998). “Nearest neighbour weighted interpolation.” http://astronomy.swin.edu.au/bourke/modeling/weightinterp.
    Breeden, D. T. and R. H. Litzenberger (1978),“Prices of State-Contingent Claims Implicit in Option Prices,” Journal of Business, 51, 621-651.
    Campa, J.M., P.H. Kevin Chang and R.L. Reider (1998), “Implied Exchange
    Rate Distributions: Evidence from OTC Option Markets”, Journal of International Money and Finance 17, 117-160.
    Carr, P. & Lee, R. (2007). “Realized volatility and variance: Options via swaps.” RISK May 2007, 76–83.
    Charles J. Corrado, and Thomas W. Miller, Jr. (2005) , ” The Forecast Quality of CBOE Implied Volatility Indexes” The Journal of Futures Markets, Vol. 25, No. 4, 339–373.
    Detemple, J., & Osakwe, C. (2000). “The valuation of volatility options.” European Finance Review, 4, 21–50.
    Dumas, B., J. Fleming, R. E. Whaley (1998), "Implied volatility functions: Empirical tests". The Journal of Finance 53, 2059-2106
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    physical and risk-neutral probability measures” Journal of Futures Markets 27, 1175-1217.
    Lin, Yueh-Neng, and Chien-Hung Chang (2009), “VIX option pricing” Journal of Futures Markets 29, 523–543.
    Rosenberg V. (2000), “Implied Volatility Functions: A Reprise” Journal of Derivatives, 7, No. 3, 51-64
    Rubinstein, M. (1994), “Implied binomial trees.” Journal of Finance 49, 771-818.
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    31, 251–281.
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    Description: 碩士
    國立政治大學
    金融研究所
    98352013
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098352013
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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