請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9489完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝 | |
| dc.contributor.author | Chiao-Yu Chen | en |
| dc.contributor.author | 陳巧瑜 | zh_TW |
| dc.date.accessioned | 2021-05-20T20:25:03Z | - |
| dc.date.available | 2009-10-15 | |
| dc.date.available | 2021-05-20T20:25:03Z | - |
| dc.date.copyright | 2008-10-15 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-09-30 | |
| dc.identifier.citation | 1. Ai t-Sahalia, Y., & W., Lo (1998).“Nonparametric Estimation of State-PriceDensities Implicit in Financial Asset Prices.”Journal of Finance, 53(1978), 499-547.
2. Anand, A., & S., Chakravarty (2003). “Stealth trading 3. Bakshi, G., C., Cao, & Z., Chen (1997). “Empirical performance of alternate option pricing models.”The Journal of Finance, 52(5), 2003–2049. 4. Bakshi, G., C., Cao, & Z., Chen (2000). “Pricing and hedging long-term options.”Journal of Econometrics, 94,277-318. 5. Bakshi, G., & N., Kapadia(2003). “Delta-hedged gains and the negative market volatility risk premium.” Review of Financial Studies, 16(2), 527–566. 6. Bates, D. (1991). “The crash of „87: Was it expected? The evidence from options markets.” The Journal of Finance, 46(3), 1009–1044. 7. Bates, D. (2000). “Post-‟87 crash fears in S&P500 futures options.”Journal of Econometrics, 94, 181–238. 8. Black, F., & M., Scholes. (1973). “The pricing of options and corporate liabilities.”Journal of Political Economy, 81, 637–659. 9. Breeden, D.T., & R.H., Litzenberger (1978). “Price of State-Contingent Claims Implicit in Option Price.” Journal of Business, 51, 621-51. 10. Britten-Jones, M., & A., Neuberger (2000). “Option prices, implied price processes and stochastic volatility.” Journal of Finance, 55,839-866. 11. Broadie, M., M., Chernov, & M., Johannes, (2007). “Model specification and risk premiums: Evidence from futures options.” Journal of Finance, 62(3), 1453-1490. 12. Bollen, N., & R., Whaley (2004). “Does net buying pressures affect the shape of implied volatility functions?” The Journal of Finance, 59(2), 711–753. 13. Campa, J.M., K.P. Chang, & R.L. Reider (1998). “Implied exchange rate distributions: Evidence from OTC option markets.”Journal of International Money and Finance, 17,117-160. 14. Canina, L., & S., Figlewski (1993). “The informational content of implied volatility.”Review of Financial Studies, 6, 659–681. 15. Cao, C., Z., Chen, & J.M., Griffin (2000). “The informational content of option volume prior to takeovers.” Working paper. Pennsylvania State University. 16. Capelle-Blancard G. (2001). “Volatility trading in option market:How does it affect where informed traders trade?”Working Paper, University of Paris. 17. Chakravarty, S., H., Gulen, & S.,Mayhew (2004). “Informed trading in stock and option markets.”Journal of Finance, 1235-1257. 18. Chan, K., P., Chung, & H., Johnson (1993). “Why option prices lag stock prices: A trading based explanation.”Journal of Finance, 48, 1957-1967. 19. Cherian, J. (1998). “Discretionary volatility trading in option markets.” Working paper, Boston University. 20. Cherian, J., & R., Jarrow (1998). “Options markets, self-fulfilling prophecies and implied volatilities.”Review of Derivatives Research (2), 5-37. 21. Cherian, J., & W.Y., Weng (1999). “An empirical analysis of directional and volatility trading in options markets.” Journal of Derivatives, 7(2), 53-65. 22. Doran, J., D., Peterson, & B., Tarrant (2007). “Is there information in the volatility skew.” Journal of Future Markets, 27(10), 921-959. 23. Duan, J., P. Ritchen, & Z. Sun (2005). “Jump starting GARCH: Pricing and hedging options with jumps in return and volatilities.” Toronto University. 24. Easley, D., M. O'Hara, & P.S. Srinivas (1998). “Option volume and stock prices: Evidence on where informed traders trade.”Journal of Finance, 53(2), 431-465. 25. Garleanu, N., L.H., Pedersen, & A., Poteshman (2006). “Demand-based option pricing” (working paper). New York: New York University. 26. George, T., & F., Longstaff (1993). “Bid-ask spreads and trading activity in the S&P100 index market. ‟‟Journal of Financial and Quantitative options Analysis, 28, 381–397. 27. Hentschel, L. (2003). “Errors in implied volatility estimation.”Journal of Financial and Quantitative Analysis, 38, 779–810. 28. Heston, S. (1993). “A closed-form solution for options with stochastic volatility with applications to bonds and currency options.” Review of Financial Studies, 6(2), 327-343. 29. Huber, P.J. (1967). “The Behavior of Maximum Likelihood Estimates under Nonstandard Conditions.”Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability (1), 221–33. 30. Hull, J., &A., White (1987). “The pricing of options on assets with stochastic volatilities.”Journal of Finance, 281-300. 31. Jackwerth, J.C., & M., Rubinstein (1996). “Recovering probability distributions from option prices.”Journal of Finance, 51, 1611-1631. 32. Stephan, J., & R., Whaley (1990). “Intraday price change and trading volume relations in the stock and stock option markets.”Journal of Finance, 45, 191-220. 33. Jiang G.J., & Y.S., Tian (2005). “The model free implied volatility and its information content.”The Review of Financial Studies, 18, 1305-1342. 34. Jorion, P. (1995). “Predicting volatility in the foreign exchange market.” Journal of Finance, 50, 507–528. 35. Kumar, R., A., Sarin, & K., Shastri (1992). “The behavior of option price around large block transactions in the underlying security.” Journal of Finance, 47, 879-889. 36. Lee, S., & P., Mykland (2006). “Jumps in real-time financial markets: A new nonparametric test and jump dynamics.” Review of Financial Studies, in press. 37. Longstaff, F. (1995). “Option price and the Martingale Restriction.” Review of Financial Studies, 8(4), 1091-1124. 38. Manaster, S., & R. Jr., Rendleman (1982). “ Option prices as predictors of equilibrium stock prices.”Journal of Finance, 37(4), 1043–1057. 39. Mayhew, S., A.,Sarin, & K., Shastri (1995). “The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements.”Journal of Finance, 55, 1635-1654. 40. Pan, J. (2002). “The jump-risk premia implicit in options: evidence from an integrated time-series study.” Journal of Financial Economics, 63, 3–50. 41. Pan, J., & A. M., Poteshman (2003). “The information in option volume for stock prices.” Working paper, MIT. 42. Poteshman, A. (2000). “Forecasting future volatility from option prices.” working paper, University of Illinois/Urbana-Champaign. 43. Rubinstein, M. (1985). “Nonparametric test of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976, through August 31, 1978.” Journal of Finance, 40,455-480. 44. Rubinstein, M. (1994). “Implied binominal trees.”Journal of Finance, 49(3), 771-818. 45. Schwert, G.W. (1990). “Stock market volatility and the crash of 87.”Review of Financial Studies, 3, 77–102. 46. Shimko, D. (1993). “Bounds of probability.”Risk, 6, 33-37. 47. White, H. (1980). “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica, 48, 817–38. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9489 | - |
| dc.description.abstract | 本研究主要在探討隱含資產價格與隱含波動率的資訊內涵。不同於大部分文獻利用選擇權價格以極小化評價誤差的方式求算隱含資產價格與隱含波動率，本研究將以S＆P500指數選擇權市場交易資料為基礎，利用買賣權平價公式求得選擇權隱含資產價格與隱含波動率，並藉由建構隱含資產價格與隱含波動率曲面，詳細探討不同履約價格以及不同到期日下隱含資產價格與隱含波動率的實證特性。再者本研究利用求算出之隱含資產價格與隱含波動率對S＆P500指數Jump發生機率進行預測，探討S＆P500指數選擇權市場對指數現貨價格變動的資訊內涵以及預測能力，究竟是來自選擇權市場參與者對資產均衡價格的預期亦或是對未來波動率的預期。 探討S＆P500指數選擇權隱含資產價格的實證特性，本研究發現不同到期日下隱含資產價格大致呈現中間高兩旁低的情形，且短天期與長天期選擇權的隱含資產價格小於現貨交易價格。而不同價內外程度下的隱含波動率則呈現出Volatility Skew的情形，並且到期日越長Volatility Skew的程度越小。使用隱含資產價格與隱含波動率對Jump發生機率進行預測的結果，發現S＆P500指數選擇權對指數價格的變動具有資訊內涵，且其預測能力來自於選擇權市場參與者對於S＆P500指數均衡價格的預期，而非來自其對指數波動率的預期。 | zh_TW |
| dc.description.abstract | Doran et al. (2007) confirmed the information content of option price for spot price movement. Base on their findings, this study separate the information embedded in the option price to further discuss the information content of implied asset price and implied volatility. Different from the previous studies, this study use Put-Call Parity to infer option implied asset price and volatility with different strike price and time to maturity to investigate the empirical properties. The results from the Standard &Poor’s 500 index options confirmed the information role of option implied asset price for spot price movement. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-20T20:25:03Z (GMT). No. of bitstreams: 1 ntu-97-R95723048-1.pdf: 1407940 bytes, checksum: afae9b8b97b41a22e491701be225bd60 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iii 英文摘要 iv 目錄 v 表目錄 vi 圖目錄 vii 第壹章 緒論 第一節 研究動機與背景 1 第二節 研究問題與內容 3 第三節 研究架構 5 第貳章 文獻回顧 6 第參章 資料、研究方法與模型 第一節 資料說明 9 第二節 研究方法 10 第三節 模型 16 第四節 事前預期 21 第肆章 實證結果與分析 第一節 隱含資產價格與隱含波動率曲面 26 第二節 Probit模型實證結果與分析 30 第三節 LM Jump實證結果與分析 40 第伍章 結論 42 參考文獻 44 | |
| dc.language.iso | zh-TW | |
| dc.title | 隱含資產價格與波動率對現貨市場價格變動之資訊內涵 | zh_TW |
| dc.title | The Information Content of Option Implied Asset Price and Volatility for Spot Price Movement | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何耕宇,徐之強 | |
| dc.subject.keyword | 隱含資產價格,隱含波動率,資訊內涵,價格發現,波動率偏斜, | zh_TW |
| dc.subject.keyword | Implied Asset Price,Implied Volatility,Information Content,Price Discovery,Volatility Skew, | en |
| dc.relation.page | 47 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2008-10-03 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-97-1.pdf | 1.37 MB | Adobe PDF | 檢視/開啟 |
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。