成功大學博碩士論文系統

簡易檢索 / 詳目顯示

回結果列表

研究生：	曾嬿蓉 Tseng, Yen-Jung
論文名稱：	以波動率圓錐過濾法為交易策略在台指選擇權市場的應用 The Utilization of Volatility Cone in the Taiwanese Option Market
指導教授：	簡金成 Chien, Chin-Chen
學位類別：	碩士 Master
系所名稱：	管理學院 - 會計學系 Department of Accountancy
論文出版年：	2006
畢業學年度：	94
語文別：	英文
論文頁數：	37
中文關鍵詞：	隱含波動率圓錐、隱含波動率、選擇權
外文關鍵詞：	implied volatility, volatility cone
相關次數：	點閱：90 下載：0
分享至:	分享至facebook 分享至twitter

查詢本校圖書館目錄查詢臺灣博碩士論文知識加值系統勘誤回報

　　購買選擇權獲利可以由簡單的買低賣高的方式來做交易策略評估。
　　歷史波動率反映過去一段期間之內價格波動的平均和典型性質，而交易者常常以隱含波動率作為權利金水準，也就是說如果隱含波動率高於歷史波動率的最近一個月水準，交易者就認為權利金的水準偏高，反之亦然。但是否用與最近一個月歷史波動率比較的策略操作會反應真實選擇權價格偏高或偏低？本篇以台指選擇權為例，使用不同期間歷史波動率作為波動圓錐過濾，進行隱含波動率決定選擇權價格高低的時點判斷，做交易買入賣出進行實證研究。

　In this paper the authors have explored the results that come from speculative trading in the Taiwanese option market using the volatility cone models. They have analyzed the results from volatility procedures and found that the volatility cone may be a potential source of predictability. However, is it really practicable or still there are some questions when we consider the realistic situations? They also discuss some problems and provide some potential ways for future research.

Abstract (Chinese) .........................................................I
Abstract...................................................................II
Acknowledgement (Chinese).................................................III
Table of Contents .........................................................IV
List of Figures.............................................................V
List of Tables.............................................................VI

Chapter 1. Introduction.....................................................1
1.1. Motivation and Background..............................................1
1.2. Literature Review......................................................1
1.3. Objectives and organization............................................3

Chapter 2. Methodology.................................................................5
2.1. The Black Scholes model and calculating implied volatilities...........5
2.2. Implied volatility.....................................................6
2.3. Volatility smile curves................................................9
2.4. The volatility cone model.............................................11
2.4.1. The (Static) volatility cone model..................................11
2.4.2. Dynamic volatility cone (DVC) model.................................15

Chapter 3. Transaction strategies and database descriptions................17
3.1. Database..............................................................17
3.2. Transaction strategy..................................................19
3.3. An example............................................................20
3.4. Further consideration.................................................23

Chapter 4. Simulation results..............................................25
4.1. Basic simulation results .............................................25
4.2. Further simulation results............................................27

Chapter 5. Conclusion .....................................................34
References.................................................................36
                                    

[1] Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate liabilities,” Journal of Political Economy, 81, 637-659.
[2] Chen, S. N., A. P. Chen and C. Chang, 2000, “The effects of volatility Smile on warrant hedging and arbitrage,” PanPacific Management Review. Vol.4, No.1, 55-71.
[3] Pilar Corredor, Pedro Lechon, and Rafael Santamaria, 2002, “Is it possible to obtain profits using naive volatility models?” Derivatives Use, Trading & Regulations, Vol. 8, No. 1, 13-32.
[4] Burghardt, Galen and Lane, Morton, 1990, “How to Tell If Options Are Cheap.” Journal of Portfolio Management, 16, 2, 72-78.
[5] Hodges S. D. and Tompkins, R.G., 2002, “Volatility Cones and Their Sampling Properties,” The Journal of Derivatives, 10, 27-42.
[6] John C. Hull, “Options, Futures and Other Derivatives 5th,” 2003, Prentice Hall.
[7] Natenberg, Sheldon, “Option volatility & pricing: advanced trading strategies and techniques,” 1994, Probus Publishing Company.
[8] Options: essential concepts and trading strategies 3rd. The Options Institute, the Educational Division of the Chicago Options Exchange. IRWIN, New York.
[9] George A. Fontanills, Tom Gentile, “The volatility course.” 2003, Wiley New Jersey.

校內：2206-01-16公開
校外：2206-01-16公開電子論文尚未授權公開，紙本請查館藏目錄

簡易檢索 / 詳目顯示

相關論文