政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/71368

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109952/140891 (78%)
Visitors : 46246566 Online Users : 1124

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/71368

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71368

Title:	The Effects of Stochastic Volatility and Demand Pressure on the Monotonicity Property Violations
Authors:	許永明 Ging-Ginq Pan;許永明;Tu-Cheng Wu
Contributors:	風管系
Date:	2014.09
Issue Date:	2014-11-13 14:50:12 (UTC+8)
Abstract:	A bothersome empirical finding in the options market microstructure literature is that in a small but significant percentage of the cases, market prices for a call and for its underlying stock move in opposite directions. For example, the stock price falls, but the call goes up, which is a violation of options’ monotonicity property. Using detailed intraday data on the Taiwan TAIEX index and its options, the authors find violations of monotonicity in about one third of the trades. They consider two possible factors that might push the call (put) price in a different (the same) direction as the stock: stochastic volatility, which introduces a second variable with its own dynamics into option pricing, and demand pressure from trades like covered calls, which can have opposite impacts on the stock and the option. The two factors together can explain all but 18% of the monotonicity violations in the data.
Relation:	Journal of Derivatives, 22(1), 90-102
Data Type:	article
DOI 連結:	http://dx.doi.org/10.3905/jod.2014.22.1.090
DOI:	10.3905/jod.2014.22.1.090
Appears in Collections:	[風險管理與保險學系] 期刊論文

Files in This Item:

File	Description	Size	Format
90-102.pdf		2553Kb	Adobe PDF2	856	View/Open

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.

Loading...