政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/98573
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113648/144635 (79%)
造访人次 : 51681762      在线人数 : 516
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/98573


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/98573


    题名: 選擇權日內隱含波動度曲線交易策略
    Intraday Option Implied Volatility Curve Trading Strategy
    作者: 劉易霖
    贡献者: 廖四郎
    劉易霖
    关键词: 隱含波動度
    微笑曲線
    選擇權
    曲線配適
    implied volatility
    volatility smile
    option
    curve fitting
    日期: 2016
    上传时间: 2016-07-01 15:01:44 (UTC+8)
    摘要: 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.
    參考文獻: 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
    描述: 碩士
    國立政治大學
    金融學系
    103352029
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103352029
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    202901.pdf460KbAdobe PDF284检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈