English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109953/140892 (78%)
Visitors : 46231695      Online Users : 894
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53175


    Title: 波動度選擇權的隱含波動度
    Other Titles: Implied Volatility of Volatility Index Options
    Authors: 陳威光
    Contributors: 國立政治大學金融系
    行政院國家科學委員會
    Keywords: 波動度選擇權;風險中立機率密度函數;隱含波動度;笑狀波幅
    Date: 2011
    Issue Date: 2012-06-25 15:17:03 (UTC+8)
    Abstract: 芝加哥選擇權交易所（CBOE）於2004年推出了波動度指數期貨(VIX futures) ，兩年後，又於2006年2月24日推出波動度指數選擇權(VIX options)。2010年CBOE 的 VIX選擇權平均每日交易量已達到25萬口，VIX期貨在CFE每天也有超過1萬7千口的交易。也因此，不論在學術界及實務界都很重視這個議題， 而波動度選擇權的正確評價更顯重要。。本研究採用CBOE VIX選擇權的市價資料，利用Black (1976)期貨選擇權公式探討VIX選擇權的笑狀波幅的形狀及其特性。由於股價的下跌往往伴隨著VIX的劇升，因此本文推測VIX大漲的機率較一般常態模型的預期大，波幅的形狀應該類似商品市場，呈現履約價格愈高，隱含波動度愈高的情形（與股價指數選擇權的笑狀波幅相反）。本文並將使用參數法及半參數法分別建構波動度平面（volatility surface），並比較數種不同的波動度函數的預測能力。本文也將由VIX選擇權市價建構VIX風險中立下的機率密度函數，來驗證VIX的機率密度分配是否與對數常態的分配有不同的現象。本文同時也探討偏態係數和未來VIX變動方向之間的關係。
    The Chicago Board Option Exchange (CBOE) launched Volatility Index futures (VIX futures) on March 26,2004 . Two years later, Volatility Index option (VIX options) was introduced on February 24, 2006. These two volatility index derivatives have attracted lots of attention from both academic and practitioners. This paper uses CBOE VIX options price data to extract the implied volatility, and to construct the implied volatility surface as a function of the strike price and maturity by semi-parametric method according to Borovkova (2009).This paper also extracts the entire risk-neutral probability density function (pdf) from the VIX option market prices to verify the lognormal benchmark.
    Relation: 基礎研究
    學術補助
    研究期間:10008~ 10107
    研究經費:237仟元
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    100-2410-H-004-031.pdf684KbAdobe PDF2822View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback