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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/98573


    Title: 選擇權日內隱含波動度曲線交易策略
    Intraday Option Implied Volatility Curve Trading Strategy
    Authors: 劉易霖
    Contributors: 廖四郎
    劉易霖
    Keywords: 隱含波動度
    微笑曲線
    選擇權
    曲線配適
    implied volatility
    volatility smile
    option
    curve fitting
    Date: 2016
    Issue Date: 2016-07-01 15:01:44 (UTC+8)
    Abstract: 由於一般投資人在買進或賣出選擇權時,並不會同時買進多個履約價的選擇權,故會造成選擇權隱含波動度的微笑曲線出現有不連續的現象。本文嘗試運用台指選擇權建構一個日內的隱含波動度微笑曲線交易策略,利用曲線配適的方法來捕捉瞬間時點下隱含波動度曲線發生不連續的現象,雖然最後出來的損益並不如預期但還是驗證了台指選擇權市場有多次這種不連續的機會且價格失衡的狀態會回歸正常。
    Option’s implied volatility smile curves discontinuous phenomenon exists when general investors buy or sell options, they won’t buy in every strike’s options. This paper attempts to use Taiwan Index Options (trading code: TXO) to construct a trading strategy based on the implied volatility. We use curve fitting method to capture volatility smile curve’s instant discontinuous. Although we find out that the strategy won’t make a profit, there were several times when TXO market’s implied volatility smile curves were discontinuous, and the market option price will eventually go back to the theoretical price.
    Reference: 1. Back, K. (1992). Insider Trading in Continuous Time. Review of Financial Studies, 5(3), 387-409.
    2. Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. The journal of political economy, 637-654.
    3. Biais, B., & Hillion, P. (1994). Insider and liquidity trading in stock and options markets. Review of Financial Studies, 7(4), 743-780.
    4. Dupire, B. (1994). Pricing with a smile. Risk, 7(1), 18-20.
    5. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of financial studies, 6(2), 327-343.
    6. Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. The journal of finance, 42(2), 281-300.
    7. Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of financial economics, 3(1-2), 125-144.
    8. Motulsky, H. J., & Brown, R. E. (2006). Detecting outliers when fitting data with nonlinear regression–a new method based on robust nonlinear regression and the false discovery rate. BMC bioinformatics, 7(1), 123.
    9. Stein, E. M., & Stein, J. C. (1991). Stock price distributions with stochastic volatility: an analytic approach. Review of financial Studies, 4(4), 727-752.
    10. 姜林杰祐、鐘芳玫(2006),台指選擇權套利機會分析,高雄應用科技大學學報
    Description: 碩士
    國立政治大學
    金融學系
    103352029
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103352029
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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