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題名 選擇權日內隱含波動度曲線交易策略
Intraday Option Implied Volatility Curve Trading Strategy
作者 劉易霖
貢獻者 廖四郎
劉易霖
關鍵詞 隱含波動度
微笑曲線
選擇權
曲線配適
implied volatility
volatility smile
option
curve fitting
日期 2016
上傳時間 1-Jul-2016 15:01:44 (UTC+8)
摘要 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.
參考文獻 1. Back, K. (1992). Insider Trading in Continuous Time. Review of Financial Studies, 5(3), 387-409.
2. Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. The journal of political economy, 637-654.
3. Biais, B., & Hillion, P. (1994). Insider and liquidity trading in stock and options markets. Review of Financial Studies, 7(4), 743-780.
4. Dupire, B. (1994). Pricing with a smile. Risk, 7(1), 18-20.
5. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of financial studies, 6(2), 327-343.
6. Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. The journal of finance, 42(2), 281-300.
7. Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of financial economics, 3(1-2), 125-144.
8. Motulsky, H. J., & Brown, R. E. (2006). Detecting outliers when fitting data with nonlinear regression–a new method based on robust nonlinear regression and the false discovery rate. BMC bioinformatics, 7(1), 123.
9. Stein, E. M., & Stein, J. C. (1991). Stock price distributions with stochastic volatility: an analytic approach. Review of financial Studies, 4(4), 727-752.
10. 姜林杰祐、鐘芳玫(2006)，台指選擇權套利機會分析，高雄應用科技大學學報
描述 碩士
國立政治大學
金融學系
103352029
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103352029
資料類型 thesis
dc.contributor.advisor 廖四郎zh_TW
dc.contributor.author (Authors) 劉易霖zh_TW
dc.creator (作者) 劉易霖zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 1-Jul-2016 15:01:44 (UTC+8)-
dc.date.available 1-Jul-2016 15:01:44 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2016 15:01:44 (UTC+8)-
dc.identifier (Other Identifiers) G0103352029en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98573-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 103352029zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 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		zh_TW
dc.format.extent 471921 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103352029en_US
dc.subject (關鍵詞) 隱含波動度zh_TW
dc.subject (關鍵詞) 微笑曲線zh_TW
dc.subject (關鍵詞) 選擇權zh_TW
dc.subject (關鍵詞) 曲線配適zh_TW
dc.subject (關鍵詞) implied volatilityen_US
dc.subject (關鍵詞) volatility smileen_US
dc.subject (關鍵詞) optionen_US
dc.subject (關鍵詞) curve fittingen_US
dc.title (題名) 選擇權日內隱含波動度曲線交易策略zh_TW
dc.title (題名) Intraday Option Implied Volatility Curve Trading Strategyen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Back, K. (1992). Insider Trading in Continuous Time. Review of Financial Studies, 5(3), 387-409.
2. Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. The journal of political economy, 637-654.
3. Biais, B., & Hillion, P. (1994). Insider and liquidity trading in stock and options markets. Review of Financial Studies, 7(4), 743-780.
4. Dupire, B. (1994). Pricing with a smile. Risk, 7(1), 18-20.
5. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of financial studies, 6(2), 327-343.
6. Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. The journal of finance, 42(2), 281-300.
7. Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of financial economics, 3(1-2), 125-144.
8. Motulsky, H. J., & Brown, R. E. (2006). Detecting outliers when fitting data with nonlinear regression–a new method based on robust nonlinear regression and the false discovery rate. BMC bioinformatics, 7(1), 123.
9. Stein, E. M., & Stein, J. C. (1991). Stock price distributions with stochastic volatility: an analytic approach. Review of financial Studies, 4(4), 727-752.
10. 姜林杰祐、鐘芳玫(2006)，台指選擇權套利機會分析，高雄應用科技大學學報		zh_TW