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| 研究生： |
劉易霖 |
|---|---|
| 論文名稱： |
選擇權日內隱含波動度曲線交易策略 Intraday Option Implied Volatility Curve Trading Strategy |
| 指導教授： | 廖四郎 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2016 |
| 畢業學年度： | 104 |
| 語文別： | 中文 |
| 論文頁數： | 20 |
| 中文關鍵詞： | 隱含波動度 、微笑曲線 、選擇權 、曲線配適 |
| 外文關鍵詞： | implied volatility, volatility smile, option, curve fitting |
| 相關次數： | 點閱：48 下載：12 |
| 分享至: |
| 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 |
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.
第一章 緒論 1
第二章 文獻回顧 2
第一節 交易型態發展 2
第二節 相關文獻 3
第三章 研究方法 5
第一節 資料描述 5
第二節 方法描述 6
第四章 實證結果 11
第五章 結論與建議 15
第一節 結論 15
第二節 建議 16
參考文獻 17
附錄 18
附錄一：2015年台灣期交所統計期貨選擇權成交量 18
附錄二：期交所公布之手續費及稅率 19
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