請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91791
標題: | COVID-19 前後S&P 500指數報酬之風險中立機率分配動差的比較分析 A Comparative Analysis of the Moments of the Risk-Neutral Distributions of S&P 500 Index Returns Before and After COVID-19 |
作者: | 陳韻帆 Yun-Fan Chen |
指導教授: | 呂育道 Yuh-Dauh Lyuu |
共同指導教授: | 繆維中 Wei-Chung Miao |
關鍵字: | COVID-19,隱含風險中立分配,VAR 模型,隱含波動度, COVID-19,implied risk-neutral distributions,VAR model,implied volatility, |
出版年 : | 2024 |
學位: | 碩士 |
摘要: | 本論文將COVID-19 大流行 前後的S&P 500 指數選擇權的IV曲面以Zhang 和 Xiang 的方法量化後轉而代表隱含風險中立分配的動差,我們將這些動差以不同選擇權到期時間長度做區分,可由此看出疫情前後市場對長短期市況預期的轉變。接著我們再將這些動差用Gehricke 和 Zhang 的方法轉換成時間序列,將動差的時間序列與VIX指數用VAR模型與共整合檢定一起查看比較,結果發現疫情期間隱含風險中立分配的三階和四階動差與VIX指數有較強的關聯性。以上的發現能夠幫我們更完善未來對S&P 500 指數報酬分配,應對金融大事件應有的設定。 This thesis quantifies the implied volatility surfaces of S&P 500 index options before and after the COVID-19 pandemic using the method proposed by Zhang and Xiang. Subsequently, these quantifications are represented as the moments of the implied risk-neutral distributions. We categorize these moments based on various time to maturities of options, which reveals the market''s changing expectations for short-term and long-term conditions before and after the pandemic. Furthermore, we convert these moments into a time series using the method of Gehricke and Zhang, and compare them with the VIX index using a VAR model and the cointegration test. The results show a strong correlation between the skewness and kurtosis of the implied risk-neutral distributions and the VIX index during the pandemic. These findings enhance our understanding of the S&P 500 index return distributions under significant financial distress. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91791 |
DOI: | 10.6342/NTU202400401 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-112-1.pdf 目前未授權公開取用 | 10.88 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。