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引文資料
題名:
Does the Stochastic Process Explain the Bizarreness of Implied Volatility Function? Evidences from Taiwan Derivative Markets
書刊名:
商管科技季刊
作者:
藍宇文
/
朱孝恩
/
張力
/
曾國安
作者(外文):
Lan, Yu-wen
/
Ju, Shiaw-en
/
Chang, Li
/
Tseng, Kuo-an
出版日期:
2016
卷期:
17:4
頁次:
頁403-434
主題關鍵詞:
隱含波動率
;
淨買壓
;
選擇權
;
微笑
;
Implied volatility
;
Net buying pressure
;
Options
;
Smile
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:29
隱含波動率微笑現象始終為選擇權理論探討話題,部份學說相信此是因罕見事件其實比想像中還常見的報酬率胖尾分配所造成,另說則相信此是因選擇權所連結資產報酬率的變異數異質性所造成。本研究以台灣指數與個股選擇權市場為對象,實證結果認為經濟性因素,如選擇權合約供需數量與淨買壓,才是形成隱含波動率形態的主要原因。實證結果亦顯示,報酬率分配與隱含波動率形態無顯著關係;造市者因應市場需求以進行避險的限制套利假說獲得支持;模擬分析中產生的超常報酬,會隨選擇權合約價格深度不同而不同,與隱含波動率並非水平直線情況吻合。
以文找文
The mysterious smile shown on implied volatility (IV) function of options has lastingly been discussed. A major stream of studies attributes the smile is reproduced by the transformed return distributions due to higher chance of rare events; some literature attribute the smile is caused by the dynamic variance of underlying asset. However, this study, based a Taiwan case of index and individual stock options market, advocated a more economic reason related with a strength of supply and demand, the net buying pressure (NBP), which is the main factor to affect the shape of IV function especial for index options. The analysis revealed that, the return distribution of underlying asset is not necessarily related with IV; the market maker hedges itself referring to demand of contracts thus the limits to arbitrage hypothesis is supported; the abnormal return generated from simulations supported that price premium shall be collected by different series of contracts and a non- horizontal IV as well.
以文找文
期刊論文
1.
Chen, K. C.、Chen, C. R.、Lung, P. P.(2010)。Business cycles and net buying pressure in the S&P 500 futures options。European Financial Management,16(4),624-657。
2.
Emanuel, D. C.、MacBeth, J. D.(1982)。Further Results on the Constant Elasticity of Variance Call Option Pricing Model。Journal of Financial and Quantitative Analysis,17(4),533-554。
3.
Bollen, Nicolas P. B.、Whaley, Robert E.(2004)。Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。
4.
Dupire, Bruno(1994)。Pricing with a Smile。Risk,7(1),18-20。
5.
Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Process。Journal of Financial Economics,3(1-2),145-166。
6.
Chan, K. C.、Cheng, L. T. W.、Lung, P. P.(2006)。Testing the net buying pressure hypothesis during the Asian financial crisis: Evidence from Hang Seng Index options。Journal of Financial Research,29(1),43-62。
7.
Brown, R. L.、Durbin, J.、Evans, J. M.(1975)。Techniques for testing the constancy of regression relationships over time。Journal of The Royal Statistics Society,37(B),149-192。
8.
Chen, C. C.、Wang, S. H.(2016)。Net Buying Pressure and Option Informed Trading。Journal of Futures Markets,37(3),238-259。
9.
Chernov, M.、Gallant, R.、Ghysels, E.、Tauchen, G.(2003)。Alternative models of stock price dynamics。Journal of Econometrics,116(1/2),225-257。
10.
Daouk, H.、Guo, J. Q.(2004)。Switching asymmetric GARCH options on a volatility index。The Journal of Future Markets,24(3),251-282。
11.
Duan, J. C.(1996)。Cracking the smile。Risk,9(12),55-59。
12.
Koichi, M.(2007)。An invitation to market based option pricing and its applications。Journal of The Operation Research Society of Japan,50(4),488-514。
13.
Lan, Y. W.、Huang, T. C.、Chang, L.(2009)。Contemplation on the value of R&D investment based upon real options。Commerce & Management Quarterly,10(4),735-759。
14.
Larkin, J.、Brooksby, A.、Lin, C. T.、Zurbruegg, R.(2012)。Implied volatility smiles, option mispricing and net buying pressure: Evidence around the global financial crisis。Accounting and Finance,52(1),47-69。
15.
Lo, K. S.、Lan, Y. W.(2010)。An Approach to the R&D value based upon real option method。Quality and Quantity,44,509-527。
16.
Singh, V. K.、Pachori, P.(2013)。A kaleidoscopic study of pricing performance of stochastic volatility option pricing models: Evidence from recent Indian economic turbulence。Vikalpa,38(2),61-79。
17.
Bates, D. S.(2000)。Post-'87 Crash Fears in the S&P 500 Futures Option Market。Journal of Econometrics,94(1/2),181-238。
18.
Whaley, R. E.(20000300)。The Investor Fear Gauge。Journal of Portfolio Management,26(3),12-17。
19.
Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。
20.
Heston, Steven L.、Nandi, Salkat(2000)。A Closed-Form GARCH Option Valuation Model。The Review of Financial Studies,13(3),585-625。
21.
Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。
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