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| Title: | 台灣公債選擇權之隱含波動率實證研究
An Empirical Study of Implied Volatility in Taiwan Bond Options Market |
| Authors: | 林逸清
Lin ,Yi Ching |
| Contributors: | 沈中華
郭維裕
林逸清
Lin ,Yi Ching |
| Keywords: | 債券選擇權
隱含波動率
bond option
implied volatility |
| Date: | 2005 |
| Issue Date: | 2009-09-12 12:52:50 (UTC+8) |
| Abstract: | 依據中華民國證券櫃檯買賣中心公佈之新金融商品業務概況，我們可以看出債券選擇權雖然到2004年7月才核准開放，但是從年度成交金額，債券選擇權均居所有債券與利率衍生性商品之冠。由於債券選擇權市場仍處於開放初期，相關資料如債券選擇權隱含波動率取得不易，因此關於台灣債券選擇權市場並未如指數選擇權市場吸引很多學術與實務界之注目。
本研究嘗試對於台灣債券選擇權市場，從評價模型、市場實務概況描述及未來可能之發展，作進一步之研究；此外，本文亦參酌Goodman and Ho（1997）所進行之美國債券選擇權損益之實證研究，來探討賣出債券「買進選擇權」之一方，是否能同樣在台灣債券選擇權市場獲得相對等之報酬。
本實證分析方法基本上是假設，「債券買權」賣方賣出履約殖利率為一個基本點價外之「債券買權」，選擇權存續期間是以兩個星期為一個循環，以中華民國證券櫃檯買賣中心公佈之每日10年期指標公債加權平均殖利率作為相對應部位調整之依據，分別代入實際波動率與期初「債券買權」之隱含波動率，進行Delta Neutral避險，且假設債券拆借與資金融通利率為中華民國證券櫃檯買賣中心公佈之等殖成交行情表（附條件）中所揭露之附條件利率，來探討賣方是否能夠賺取一定合理之報酬率及其可能面對之風險。
從2005年4月至2005年11月底之實證期間，共計13個循環週期，我們發現下列幾個現象：
◆債券買權與賣權之隱含波動率普遍高於實際波動率，賣權隱含波動率又高於買權。
◆以賣出債券買權為例，在不考慮交易成本下，賣出買權之一方均能獲利，但損益之變異性都相當大。
◆在避險波動率參數之使用上，代入實際波動率，不論是從損益之絕對數值或每單位風險報酬，均優於代入期初買權隱含波動率。
◆從等殖成交行情表（附條件）中所揭露之附條件利率，即債券融資與融券利率，其波動性遠大於債券殖利率，因此在進行債券選擇權交易時必需將此列入評價之重要考量因素。
◆如果考慮權利金收入，由於目前稅法無法與避險損失互抵，必需被課徵25%營利事業所得稅，因此選擇權賣方均無法獲利。
According to the fact reports of OTC derivatives released by GraTai Securities Market (GTSM) in 2005, trading value of bond option was top of all interest rate derivatives and bond derivatives, though it was opened lately in July 2004. Due to the difficulty to get the market information like implied volatility of options, we haven’t seen considerable studies on Taiwan bond option market. Owing to the writer of this paper serves in this field, we can take advantage of collecting these data from Interdealer brokers and dealers. Accordingly, we have ground to develop this research.
In this paper, we begin our discussion by presenting the landscape of Taiwan bond option market and then turn to review the basic models. Lastly, we reference the empirical study of US OTC Treasury option done by Goodman and Ho (1997) to construct the framework for measuring how investors are fairly compensated by selling call in Taiwan bond option market.
To evaluate the profit and risk of option writing, we assume writer can sell two-week call options on ten-year Treasury note at market implied volatility, with a strike yield at one basis point out of daily closing yield. Option writer uses daily closing yields to do the delta neutral hedge. Besides, we take overnight call loan rates of Electronic Bond Trading System in GTSM as the borrowing and lending rates of government bond.
Over the empirical period of 2005.04.1-2005.11.30, several circumstances can be found from this study.
1.In average, the implied volatilities are higher than actual volatility. This is in agreement with the results of Goodman and Ho (1997). Besides, implied volatility of put option is generally higher than call option.
2.Without considering transaction cost, call option writer can have vulnerable profit from selling volatility.
3.Adoption of actual volatility can bring better absolute profit and risk-adjusted return than implied volatility in the option valuation.
4.In this article, it shows a striking effect of the borrowing and lending rates of government bonds on the movement of implied volatility spread between call and put.
5.Under current Act of Income Tax, the hedging loss of option writer cannot be offset by premium income. Therefore, call writer can not make profit after tax.
中文摘要...................................................I
英文摘要...................................................Ⅱ
目 錄.................................................III
表 目 錄................................................. IV
圖 目 錄............ ......................................V
第一章 緒論................................................1
第一節 研究背景..........................................1
第二節 研究動機與目的.....................................4
第三節 研究架構..........................................5
第二章 債券選擇權簡介.......................................6
第一節 債券選擇權之介紹...................................6
第二節 債券選擇權評價模型回顧..............................9
第三章 台灣債券選擇權現況...................................22
第一節 現行債券選擇權概況....................................22
第二節 台灣債券選擇權相關問題..........................27
第四章 債券選擇權損益之實證研究..............................30
第一節 實證分析方法.........................................30
第二節 實證資料設定.........................................33
第三節 模擬交易............................................40
第四節 實證結果分析.........................................43
第五章 結論與建議..........................................44
第一節 研究結論............................................44
第二節 研究建議............................................44
參考文獻..................................................46
表目錄
表1-1 中華民國櫃檯買賣中心開放新金融商品時程表...........................................2
表2-1 台灣債券選擇權報價頁面...............................................................................6
表2-2 美國10年期債券期貨選擇權報價頁面.........................................................7
表3-1 中央登錄公債分割 / 重組狀況月報表........................................................27
表4-1 價格波動率與殖利率波動率轉換表.............................................................32
表4-2 選擇權執行標的之10年期指標公債基本資料及取樣期間.......................33
表4-3 2003年10年期指標公債交替殖利率變動比較表......................................33
表4-4 2004年10年期指標公債交替殖利率變動比較表......................................34
表4-5 2005年10年期指標公債交替殖利率變動比較表......................................34
表4-6 10年期指標公債殖利率、波動率基本資料................................................35
表4-7 以歷史波動率當作避險參數之淨損益表.....................................................42
表4-8 以買權隱含波動率當作避險參數之淨損益表.............................................42
表4-9 歷史波動率與買權隱含波動率當作避險參數之淨損益比較表.................43
圖目錄
圖1-1 中央政府公債發行概況...................................................................................1
圖1-2 中央政府公債交易量.......................................................................................2
圖1-3 「中華民國10年期政府債券期貨契約」未平倉合約與價格走勢圖….....4
圖2-1 Typical Behavior of a Brownian Bridge Process.............................................12
圖2-2 利率期間結構之二項式利率樹過程.............................................................15
圖3-1 債券選擇權交易量.........................................................................................22
圖3-2 GreTai公債殖利率曲線圖.............................................................................27
圖3-3 債券現貨市場交易量集中度分析.................................................................28
圖4-1 債券實際波動率與買權及賣權隱含波動率.................................................39
圖4-2 買權及賣權隱含波動率分別除以實際波動率之比值.................................39
圖4-3 債券隔夜加權融資融券利率.........................................................................41 |
| Reference: | 一、中文文獻
1. 陳德鄉、呂君毅，「櫃檯市場債券選擇權商品與制度介紹」，證券櫃檯月刊，第98期，2004年8月
2. 蔡淑慧，「債券選擇權之訂價策略與實證」，中央大學財務管理研究所碩士論文，1993年
3. 陳賜井，「台灣開放債券選擇權前後對現貨市場之影響」，政治大學經營管理碩士學程碩士論文，2005年
二、英文文獻
1. Ball and Torous, “Bond Prices dynamics and Options,” Journal of Financial and Quantitative Analysis 18, No. 4, pp. 517-32, December 1983.
2. Black, F., “The Pricing of Commodity Contracts,” Journal of Financial Economics, Vol. l, 1976.
3. Cox, J., Stephen A Ross, and M. Rubinstein, “A Theory of the Term Structure of Interest Rates,” Econometrica 53, No. 2, pp. 385-407, March 1985.
4. Cuthbertson and Nitzsche, Financial Engineering Derivatives and Risk Management, John Wiley & Sons Ltd, 2001.
5. Goodman and Ho, “Are Investors Rewarded For Shorting Volatility ?,” The Journal of Fixed Income, pp. 38-42, June 1997.
6. Ho and Lee, “Term Structure Movements and Pricing Interest Rate Contingent Claim,” The Journal of Finance 41, No. 5, pp. 1011-29, December 1986.
7. John C. Hull, Options, Futures, and Derivatives, fourth edition, Prentice Hall, 1999.
8. John Hull and Alan White, “Pricing Interest -Rate-Derivative Securities” , the Review of Financial Studies, Vol. 3, No. 4, pp. 573-92, 1990.
9. M. Rubinstein, Rubinstein on Derivatives, Risk Books, 1999.
10. O. A. Vasicek, “An Equilibrium Characterization of Term Structure,” the Journal of Financial Economics, Vol. 5, pp. 177-88, 1977.
11. Y.D. Lyuu, “Financial Engineering and Computation,” Cambridge University Press, 2002. |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
92932218
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0929322182 |
| Data Type: | thesis |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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