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題名：波動度選擇權的隱含波動度
書刊名：風險管理學報
作者：陳威光 引用關係／郭維裕 引用關係／黃暐能／王朝生
作者(外文)：Chen, Wei-kuang／Kuo, Weiyu／Huang, Wei-neng／Wang, Chao-sheng
出版日期：2013
卷期：15:1
頁次：頁57-80
主題關鍵詞：波動度選擇權；隱含波動度；笑狀波幅；VIX options；Implied volatilities；Volatility smile
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:11
本文的目的在檢驗以及分析波動度指數選擇權（VIX option）的笑狀波幅特性。本文採用2006年2月24日至2010年6月30日芝加哥選擇權交易所的波動度指數選擇權資料，代入Whaley（1993）的波動度選擇權模型來計算波動度指數選擇權的隱含波動度。本文發現波動度指數選擇權的隱含波動度具有以下特性：（1）隱含波動度隨著履約價格的提高而上升，其笑狀波幅大致呈現由左下往右上的型態，與一般股價選擇權的笑狀波幅剛好相反；（2）愈長期的合約的隱含波動度愈低；（3）到期日越短，笑狀波幅越陡峭，即價內和價外選擇權的隱含波動度的差距加大；（4）波動度指數與其隱含波動度具有正向的不對稱關係，即波動度指數上漲將使其隱含波動度上升，且其上升的幅度大於波動度指數下跌使波動度指數波動度下降的幅度。此外，本文也發現在波動度指數選擇權價格中，到期時間扮演著相當重要的角色，不論是從樣本內的配適度或是從評價結果來看，加入到期時間因子後，評價誤差都有大幅的降低。
This paper uses Whaley (1993) volatility option model and Black (1976) futures option model to compute and analyze the implied volatilities from VIX options traded in CBOE. We find four characters in these implied volatilities of VIX options: 1) the higher the strike price, the higher the implied volatility; 2) the shorter the maturity, the higher the implied volatility; 3) the shorter the maturity, the steeper the shape of the implied volatility curve; 4) the change in implied volatility is larger when VIX increases comparing to those when VIX decreases. Besides, this paper finds that maturity is a key factor that has an important impact on the option prices.
期刊論文
1.Banerjee, P. S.、J. S. Doran、D. R. Peterson(2007)。Implied Volatility and Future Portfolio Returns。Journal of Banking & Finance，31，3183-3199。  new window
2.Becker, R.、A. E. Clements、S. I. White(2006)。On the Informational Efficiency of S&P500 Implied Volatility。North American Journal of Economics and Finance，17，139-153。  new window
3.Borovkova, S.、Permana, F. J.(2009)。Implied Volatility in Oil Markets。Computational Statistics and Data Analysis，53，2022-2039。  new window
4.Carr, P.、L. Wu(2006)。Understanding the VIX。The Journal of Derivatives，13，13-29。  new window
5.Dash, S.、M. T. Moran(2005)。VIX as a Companion for Hedge Fund Portfolios。The Journal of Alternative Investments，8，75-80。  new window
6.Giot, P.(2005)。Implied Volatility Indexes and Daily Value at Risk Models。The Journal of Derivatives，12，54-64。  new window
7.Lin, Y. N.、C. H. Chang(2009)。VIX Option Pricing。The Journal of Futures Markets，29，523-543。  new window
8.Lin, Y. N.(2007)。Pricing VIX Futures: Evidence from Integrated Physical and Risk-Neutral Probability Measures。Journal of Futures Markets，27，1175-1217。  new window
9.Norden, L.(2003)。Asymmetric Option Price Distribution and Bid-Ask Quotes Consequences for Implied Volatility Smiles。Journal of Multinational Financial Management，13，423-441。  new window
10.Psychoyios, D.、G. Skiadopoulos(2006)。Volatility Options: Hedging Effectiveness Pricing, and Model Error。The Journal of Futures Markets，26，1-31。  new window
11.Wang, Z.、R. T. Daigler(2010)。The Performance of VIX Option Pricing Models Empirical Evidence beyond Simulation。The Journal of Futures Markets，31，251-281。  new window
12.Whaley, R. E.(2009)。Understanding the VIX。Journal of Portfolio Management，35，98-105。  new window
13.Zhang, J. E.、Y. Zhu(2006)。VIX futures。The Journal of Futures Markets，26，521-531。  new window
14.Ederington, L. H.、W. Guan(2002)。Measuring Implied Volatility: Is an Average Better Which Average?。The Journal of Futures Markets，22，811-837。  new window
15.Martens, M.、Zein, J.(2004)。Predicting Financial Volatility: High-Frequency Time-Series Forecasts vis-a-vis Implied Volatility。The Journal of Futures Markets，24(11)，1005-1028。  new window
16.Campa, Jose M.、Chang, P. H. Kevin、Reider, Robert L.(1998)。Implied Exchange Rate Distributions: Evidence from OTC Option Markets。Journal of International Money and Finance，17，117-160。  new window
17.Mayhew, S.、Stivers, C.(2003)。Stock Return Dynamics, Option Volume, and the Information Content of Implied Volatility。The Journal of Futures Markets，23(7)，615-646。  new window
18.Fleming, Jeff(1998)。The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices。Journal of Empirical Finance，5(4)，317-345。  new window
19.Rosenberg, J. V.(2000)。Implied Volatility Functions A Reprise。The Journal of Derivatives，7，51-64。  new window
20.Whaley, R. E.(20000300)。The Investor Fear Gauge。Journal of Portfolio Management，26(3)，12-17。  new window
21.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance，53(6)，2059-2106。  new window
22.Engle, R. F.、Gallo, G. M.(2006)。A Multiple-indicators Model for Volatility Using Intra-daily Data。Journal of Econometrics，131(1/2)，3-27。  new window
23.Becker, R.、Clements, A.、McClelland, A.(2009)。The jump component of S&P 500 volatility and the VIX index。Journal of Banking and Finance，33，1033-1038。  new window
24.Corrado, C.J.、Miller, T.W.(2005)。The forecast quality of CBOE implied volatility indexes。Journal of Futures Market，25，339-373。  new window
25.Becker, R.、Clements, A. E.、White, S.(2007)。Does implied volatility provide any information beyond that captured in model-based volatility forecasts?。Journal of Banking and Finance，31，2535-2549。  new window
26.Konstantinidi, E.、Skiadopoulos, G.、Tzagkaraki, E.(2008)。Can the evolution of implied volatility be forecasted? Evidence from European and U.S. implied volatility indices。Journal of Banking and Finance，32，2401-2411。  new window
研究報告
1.Chen, W. K.、W. Kuo(2011)。The Implied Volatility of VIX Options。National Chengchi University。  new window
2.Huang, W. N.、W. K. Chen(2011)。Valuation and Implied Volatility of VIX Options。National Chengchi University。  new window
3.Giot, P.(2002)。Implied Volatility Indices as Leading Indicators of Stock Index Returns。CORE, University of Leuvain。  new window
 
 
 
 
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