| dc.contributor | 金融系 | - |
| dc.creator (作者) | 林士貴 | - |
| dc.date (日期) | 2021-10 | - |
| dc.date.accessioned | 7-Apr-2026 13:17:18 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:17:18 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:17:18 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181923 | - |
| dc.description.abstract (摘要) | 金融事件或是一些市場裡異常的交易行為發生都會造成現貨市場價格與選擇權市場買賣報價產生波動度、價格跳動與流動性等風險提升，如何建構適當的評價模型精準地捕捉市場價格動態與選擇權市場避險投機行為讓評價與避險誤差達最小是財務工程領域裡相當重要的研究議題。投資人在各種金融市場間資金的轉移與避險操作等行為會直接影響市場間價格波動與流動性的變化，本計畫嘗試研究S&P 指數期貨與選擇權與VIX 指數期貨與選擇權這四個市場之間的交互影響，本計畫首先考慮S&P500 指數期貨與選擇權兩個市場的研究，將流動性因子直接加入到價格動態裡中，分析在真實世界測度之下其與波動度與價格跳躍解釋市場報酬率變異的比例，且在評價的部分分析其對於配飾隱含波動度曲面之影響力。再來本計劃加入VIX 指數期貨與選擇權市場，VIX 市場可以給投資人直接當作避險的工具來交易波動度，其中避險會跟市場流動性不足有重大關係，假如避險市場流動性低會造成避險失敗進而造成損失，進而在對原投資市場的流動性產生影響，所以不同於過去文獻ADLE-Sahalia, Cacho-Diaz, and Laeven (2015) 探討跨市場價格的傳染效果，本計劃試圖將市場的流動性的傳染效果考慮進來。本計畫研究目的主要有三個方面：第一個是在動態配飾與評價模型方面，將隨機波動度、價格與波動度同時跳躍、隨機跳躍次數動態、流動性動態與流動性跳躍等模型作整合，建構出一般化的評價模型。第二個方面為參數估計，利用粒子濾波演算法搭配最大期望值算法以及共同估計萃取選擇權市場隱含波動度曲面的隱含資訊，第三個方面進行財務實證，利用校估出來的變異數風險溢酬與流動性風險溢酬對其作分析討論其之間對於總風險溢酬所佔之比例且配合各種經濟事件分析，且更進一步分析不同期間結構的風險溢酬對於報酬率預測之能力。 | - |
| dc.description.abstract (摘要) | Financial events or abnormal investment behaviors in the financial markets will cause fluctuations in spot market prices and options quotes, and then the volatility risk, the price jump risk, and liquidity risk will rise up. How to construct an appropriate evaluation model to accurately capture market price dynamics and minimize the options pricing errors are important research topics in the field of financial engineering. Investors' transfer of funds and hedging operations among various financial markets will directly affect market price fluctuations and liquidity changes. Therefore, this project attempt to study the interaction influence between S&P index futures and its options market and the VIX index futures and its options market. First, this project considers the research of S&P 500 index futures and options and adds the liquidity factor directly to the price dynamics. Then, we account the ratio of liquidity risk, volatility risk, and jump risk interpretation of return variation under the physical measure. In the pricing part, we also study how liquidity risk influence on the implied volatility surface. Next, this project adds the VIX index futures and options market. The VIX market can give investors directly to trade volatility and commonly be used to a hedging tool. Among them, the risk-avoidance will have a significant relationship with the lack of market liquidity. If the illiquidity of the safe-haven market will cause the risk-avoiding failure and cause losses, and thus affect the liquidity of the original investment market. It is different from the past literature ADLE-Sahalia, Cacho-Diaz, and Laeven (2015) who explored the effects of cross-market prices. This project attempts to take into account the eects of mutually liquidity exciting process between S&P 500 and VIX markets. There are three main purposes of this project. First of all, we integrate the stochastic volatility, the simultaneous jump of price and volatility, the stochastic jump intensity, the liquidity and the liquidity jump to construct a generalized evaluation model. Second, we use the particle filter algorithm with the EM algorithm to tracking the latent variables and estimate the model's parameters under the physical measure, and then jointly connect the spot and options markets to extract the information of the implied volatility surface. Third, we investigate how the proportion of the variance risk premium and liquidity risk premiums are accounted to the total risk premiums. We also discuss the various economic events corresponding to each risk premium. Final, we further analyze the return predictability of the term structure of various risk premiums. | - |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST108-2410-H004-075-MY2, 108.08-110.07 | - |
| dc.subject (關鍵詞) | 隨機波動度; 跳躍風險; 流動性風險; 變異數風險溢酬; 流動性風險溢酬; 報酬率預測能力; 自我激勵跳躍叢聚; 跨市場流動性傳染效果 | - |
| dc.subject (關鍵詞) | Stochastic Volatility; Jump Risk; Illiquidity Risk; Variance Risk Premium; Liquidity Risk Premium; Return Predictability; Self-Exciting Process; Mutually Liquidity Exciting Process | - |
| dc.title (題名) | 隨機波動度下股價指數選擇權與波動率指數選擇權之流動性風險溢酬：風險中立與完全競爭下均衡之研究 | - |
| dc.title (題名) | Illiquidity Premium of Index Options and Vix Options under Stochastic Volatility Models: Research on Risk Neutral Probability Vs Perfect Competition Equilibrium | - |
| dc.type (資料類型) | report | - |
