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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 王耀輝(Yaw-Huei Wang) | |
dc.contributor.author | Ming-Lin Chuang | en |
dc.contributor.author | 莊明霖 | zh_TW |
dc.date.accessioned | 2021-06-14T17:04:15Z | - |
dc.date.available | 2010-08-05 | |
dc.date.copyright | 2008-08-05 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-07-29 | |
dc.identifier.citation | 一、中文參考文獻
1. 李佳玲,「台指選擇權波動度指標與景氣指標之關係性研究」,國立中央大學企業管理研究所碩士論文,民國九十五年六月。 2. 袁淑芳,「台灣市場隱含波動率指標之資訊內涵探究」,私立淡江大學財務金融所博士論文,民國九十七年一月。 3. 陳威光,「選擇權理論、實務與應用」,智勝出版公司,台北民國九十一年三月。 4. 楊奕農著,「時間序列分析」 經濟與財務上之應用,雙葉出版公司,台北民國九十五年九月。 二、英文參考文獻 1. Ait-Sahalia, Y., and A.W. Lo, 1998, “Nonparametric Estimation of State-price Densities Implicit in Financial Asset Prices,”Journal of Finance, 53, 499-547. 2. Bakshi, G., C. Cao, and Z. Chen, 1997, “Empirical Performance of Alternative Option Pricing Models,”Journal of Finance, 52, 2003-2049. 3. Bakshi, G., C. Cao, and Z. Chen, 2000, “Pricing and Hedging Long-Term Options,”Journal of Econometrics, 94, 277-318. 4. Barndorff-Nielsen, O. E., and N. Shephard, 2003, “Realized Power Variation and Stochastic Volatility Models, Bernouilli, 9, 243-265. 5. Bates, D., 1991, “The Crash of ’87: Was it Expected? The Evidence from Options Markets,”Journal of Finance, 46, 1009-1044. 6. Becker, S., 1981, “Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability,”Journal of Banking and Finance, 5,363-382. 7. Black, F., and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,”Journal of Political Economy, 81, 637-659. 8. Britten-Jones, M., and A. Neuberger, 2000, “Option Prices, Implied Price Processes, and Stochastic Volatility,”Journal of Finance, 55, 839-866. 9. Campa, J. M., K. P. Chang, and R. L. Reider, 1998, “Implied Exchange Rate Distributions: Evidence from OTC Option Markets,”Journal of International Money and Finance, 17, 117-160. 10. Canina, L., and S. Figlewski, 1993, “The Informational Content of Implied Volatility,”Review of Financial Studies, 6,659-681. 11. Choi, S., and M. Wohar, 1992, “Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets,”Financial Review, 27,503-530. 12. Chiras, D., and S. Manaster, 1978, “The Information Content of Option Prices and a Test of Market Efficiency,” Journal of Financial Economics, 6, 213-234. 13. Christensen, B. J., and N. R. Prabhala, 1998, “The Relation between Implied and Realized Volatility,” Journal of Financial Economics, 50, 125-150. 14. Christensen, B. J., and C. S. Hansen, 2002, “New Evidence on the Implied-Realized Volatility Relation,”The European Journal of Finance, 8,187-205. 15. Day, T. E., and C. M. Lewis, 1988, “The Behavior of the Volatility Implicit in the Prices of Stock Index Options,”Journal of Financial Economics, 22, 103-122. 16. Day, T. E., and C. M. Lewis, 1992, “Stock Market Volatility and the Information Content of Stock Index Options,”Journal of Econometrics, 52, 267-287. 17. Donaldson, R.G.., and M. Kamstra, 2005, “Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Tradeoff,”Journal of Financial Research, 28,519-538. 18. Ederington L. H., and W. Guan, 2002, “Is Implied Volatility an Informationally Efficient and Effective Predictor of Realized Volatility?”Journal of Risk, 4, 29-46. 19. Fleming, J., B. Ostdiek, and R. E. Whaley, 1995, “Predicting Stock Market Volatility: A New Measure,”The Journal of Futures Markets, 15, 265-302. 20. Fleming, J., 1998, “The Quality of Market Volatility Forecast Implied by S&P 100 Index Option Prices,”Journal of Empirical Finance, 5, 317-345. 21. Ghulam Sarwar, 2004, “The Information Role of Option Trading Volume in the S&P 500 Futures Options Markets,”Applied Financial Economics Literature, 41, 1197-1210. 22. Godbey, J. M., and J.W. Mahar, 2005, “Forecasting Power of Implied Volatility:Evidence from Individual Equities,' working paper. 23. Gwilym, O., 2001, “Forecasting Volatility for Options Pricing for the U.K. Stock Market,” Journal of Financial Management and Analysis, 14, 55-62. 24. Harvey, C., and R. Whaley, 1992, “Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market,” Journal of Financial Economics, 31, 43-73. 25. Jiang G. J., and Y. S. Tian, 2005, “The Model-Free Implied Volatility and its Information Content,” The Review of Financial Studies, 18, 1305-1342. 26. Jorion, P., 1995, “Predicting Volatility in the Foreign Exchange Market,” Journal of Finance, 50,507-528. 27. Lamoureux, D., and W. Lastrapes, 1993, “Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities,” Review of Financial Studies, 6, 293-326. 28. Latane, H. A., and R. J. Rendleman, 1976, “Standard Deviations of Stock Price Ratios Implied in Option Prices,” Journal of Finance, 31, 369-381. 29. Mayhew, S., 1995, “Implied Volatility,” Financial Analysts Journal, 50, 8-20. 30. Mayhew, S. and C. Stivers, 2003, “Stock Return Dynamics, Option Volume, and the Information Content of Implied Volatility,” Journal of Futures Markets, 23, 615-646. 31. Merville, L., and J. Macbeth, 1979, “An Empirical Examination of the Black-Scholes Call Option Pricing Model,” Journal of Finance, 34, 1173-1186. 32. Silvia Muzzioli,2007, “The Relation between Implied and Realised Volatility: Are Call Options More Informative than Put Options? Evidence from the DAX Index Options Market,” working paper. 33. Tavakkol, A., 2000, “Positive Feedback Trading in the Options Market,” working paper. 34. Whaley, R. E., 1981, “On the Valuation of American Futures Options: Theory and Empirical Tests,” Journal of Financial Economics, 9, 127-150. 35. Whaley, R. E., 1986, “Valuation of American Futures Options: Theory and Empirical Tests,” Journal of Finance, 10, 71-84. 36. Whaley, R. E., 1993, “Derivatives on Market Volatility: Hedging Tools Long Overdue,” Journal of Derivatives, 71-84. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/40868 | - |
dc.description.abstract | 本研究是以S&P 500 日內五分鐘報酬平方和計算實現波動率(Realized Volatility),分別以單變量與包含迴歸(Encompassing Regressions),分析比較1997年至2005 年期間,B-S 評價模型隱含波動率(Black-Scholes Implied Volatility)與無模型設定隱含波動率(Model-Free Implied Volatility),在7、30、60 與90 天等四個
S&P 500 選擇權到期循環與每天最短到期日之預測能力,本研究著重於不同模型、不同資料型態(買權、賣權與加權平均)預測能力與資訊內涵之比較。 實證結果發現,在上述兩種方法下,短期而言,賣權隱含波動率的預測能力優於買權隱含波動率,但並未完全包含買權隱含波動率的資訊;長期而言,買權隱含波動率則優於賣權隱含波動率,但並未完全包含賣權隱含波度率的資訊。其次,不管是在哪一種方法下,利用成交量加權平均之隱含波動率皆優於單獨利用買權及賣權資料所計算出之隱含波動率。最後,比較上述兩種方法,經過成交量加權平均後,B-S 評價模型隱含波動率優於無模型設定波動率,並且完全包含無模 型設定隱含波動率的資訊。本實證結果,有助於市場投資人能以更有效率之選擇權隱含波動率資訊去評估實現波動率,制定其投資策略。 | zh_TW |
dc.description.abstract | We use 5-minute high frequency index returns to stimate realized volatility of S&P 500 index. Our sample period is from May 1997 to December 2005. We employ both univariate and encompassing regressions to analyze the information content of B-S and model-free Implied Volatility calculated over 7-day, 30-day 60-days, 90-day and shortest maturity horizons. We focus on the comparison of prediction ability and the information content between different models as well as different data, including call option, put option and weighted average.
We find the prediction ability of implied volatility of put option exceeds that of call option in the short run, though it does not subsume all the information contained in call option. However, the prediction ability of implied volatility of call option is better than that of put option in the long run, though it does not subsume all the information contained in put option. In addition, the average implied volatility weighted by volume is better than either call option or put option. Finally, we find that if we use the weighted average data, the B-S Implied Volatility beats the model-free implied volatility. We hope investors can benefit from the empirical results by choosing effective implied volatility of option to assess realized volatility and thus form their investment strategy. | en |
dc.description.provenance | Made available in DSpace on 2021-06-14T17:04:15Z (GMT). No. of bitstreams: 1 ntu-97-R95723095-1.pdf: 385058 bytes, checksum: 6e325aa04f177c5eb1dcb3d9908887d5 (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | 國立臺灣大學碩士學位論文口試委員審定書.................i
誌謝..................................................ii 摘要.................................................iii Abstract .............................................iv 目錄...................................................v 第一章 緒論............................................1 第一節、研究動機與背景.................................1 第二節、研究問題與內容.................................2 第三節、研究架構.......................................4 第貳章 文獻回顧........................................5 第一節、各波動率之比較.................................5 第二節、買賣權所隱含資訊之比較.........................6 第三節、波動率之加權方式..............................7 第三章 資料來源與波動率計算...........................9 第一節、資料來源......................................9 第二節、波動率計算....................................10 第肆章、研究方法......................................19 第伍章、實證結果與分析................................24 第一節、 B-S 評價模型隱含波動率.......................24 第二節、無模型設定隱含波動率..........................32 第三節、兩種方法的比較................................40 第陸章、結論與建議....................................48 參考文獻..............................................50 | |
dc.language.iso | zh-TW | |
dc.title | 選擇權隱含波動率對未來波動率之資訊內涵 | zh_TW |
dc.title | The Information Content of Option-Implied
Volatility for Realized Volatility | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu Ho),徐之強(Chih-Chiang Hsu) | |
dc.subject.keyword | 選擇權,B-S 隱含波動率,無模型設定隱含波動率,加權平均波動率,實現波動率, | zh_TW |
dc.subject.keyword | options,Black-Scholes implied volatility,model-free implied volatility,weighted average volatility,realized volatility, | en |
dc.relation.page | 53 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2008-07-29 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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