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題名:選擇權隱含波動率偏斜價差交易之應用方法與實證研究--以臺指選擇權為例
書刊名:商管科技季刊
作者:黃明官王期平
作者(外文):Huang, Ming-guanWang, Chi-ping
出版日期:2022
卷期:23:1
頁次:頁1-45
主題關鍵詞:隱含波動率選擇權價差交易波動率偏斜價差交易臺指選擇權Implied volatilityOptions spreadsVolatility skew spreadsTaiwan index optionTXO
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(0) 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:0
  • 共同引用共同引用:11
  • 點閱點閱:5
期刊論文
1.Xing, Yuhang、Zhang, Xiaoyan、Zhao, Rui(2010)。What Does the Individual Option Volatility Smirk Tell Us about Future Equity Returns?。Journal of Financial and Quantitative Analysis,45(3),641-662。  new window
2.Anderson, T. G.、Benzoni, L.、Lund, J.(2002)。An Empirical Investigation of Continuous-Time Equity Return Models。Journal of Finance,57(3),1239-1284。  new window
3.Poon, S.-H.、Granger, C. W. J.(2003)。Forecasting volatility in financial markets: A review。Journal of Economic Literature,41(2),478-539。  new window
4.Yan, S.(2011)。Jump risk, stock returns, and slope of implied volatility smile。Journal of Financial Economics,99(1),216-233。  new window
5.Zhang, J. E.、Xiang, Y.(2008)。The implied volatility smirk。Quantitative Finance,8(3),263-284。  new window
6.Harvey, C. R.、Whaley, R. E.(1992)。Market Volatility Prediction and the Efficiency of S&P 100 Index Options Market。Journal of Financial Economics,31(1),43-73。  new window
7.Doran, J. S.、Peterson, D. R.、Tarrant, B. C.(2007)。Is There Information in Volatility Skew?。Journal of Futures Markets,27(10),921-959。  new window
8.袁淑芳、李進生(20070400)。臺灣市場隱含波動率指標的探究:Taifex's VXO與展望理論。管理學報,24(2),211-228。new window  延伸查詢new window
9.Vagnani, G.(2009)。The Black-Scholes model as a determinant of the implied volatility smile: A simulation study。Journal of Economic Behavior and Organization,72(1),103-118。  new window
10.Engström, M.(2002)。Do Swedes Smile? On Implied Volatility Functions。Journal of Multinational Financial Management,12(4/5),285-304。  new window
11.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
12.Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。  new window
13.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。  new window
14.李存修、盧佳鈺、江木偉(20060100)。臺指選擇權隱含波動率指標之資訊內涵。證券市場發展季刊,17(4)=68,1-42。new window  延伸查詢new window
15.Day, Theodore E.、Lewis, Craig M.(1992)。Stock Market Volatility and the Information Content of Stock Index Options。Journal of Econometrics,52(1/2),267-287。  new window
16.郭維裕、陳鴻隆、陳威光(20130700)。選擇權市場效率性檢定:隱含波動率成對交易檢定法。管理與系統,20(3),425-458。new window  延伸查詢new window
17.楊東曉、楊聲勇、蔡逸賢(20111100)。買賣權期貨平價誤差與隱含波動度差之應用。期貨與選擇權學刊,4(2),75-112。new window  延伸查詢new window
18.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
19.Doran, James S.、Krieger, Kevin(2010)。Implications for asset returns in the implied volatility skew。Financial Analysts Journal,66(1),65-76。  new window
20.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
21.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
22.Heston, Steven L.、Nandi, Saikat(2000)。A Closed-Form GARCH Option Valuation Model。The Review of Financial Studies,13(3),585-625。  new window
23.郭維裕、陳威光、陳鴻隆、林信助(20091100)。動態隱含波動度模型:以臺指選擇權為例。期貨與選擇權學刊,2(2),47-89。new window  延伸查詢new window
24.王銘杰、吳伶儀(20160300)。臺指選擇權隱含波動率之探討。商管科技季刊,17(1),113-140。new window  延伸查詢new window
25.李瑞琳(20120900)。Taiwan Index Options, Implied Volatility and Nonlinear Panel Unit Root Test。臺灣金融財務季刊,13(3),93-111。new window  new window
26.袁淑芳、李進生、黃建華(20160400)。選擇權的隱含波動度偏態之資訊內涵--以臺灣指數選擇權市場為例。管理與系統,23(2),223-246。new window  延伸查詢new window
27.陳松男、蔡輝煌、邱嘉洲(20101100)。Explaining the Implied Volatility Skew from the Rational Speculation Perspective: Calibration on the Taiwan Stock Index Option Market。期貨與選擇權學刊,3(2),1-33。new window  new window
28.Figueroa-López, J. E.、Ólafsson, S.(2016)。Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps。Finance and Stochastics,20(4),973-1020。  new window
29.Gerhold, S.、Gülüm, I. C.、Pinter, A.(2016)。Small-maturity asymptotics for the at-the-money implied volatility slope for Lévy models。Applied Mathematical Finance,23(2),135-157。  new window
30.Mixon, S.(2011)。What does implied volatility skew measure?。The Journal of Derivatives,18(4),9-25。  new window
31.Neely, C. J.(2009)。Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?。Journal of International Financial Markets, Institutions and Money,19(1),188-205。  new window
學位論文
1.王煥騰(2019)。台指選擇權隱含波動率事件研究(碩士論文)。國立高雄科技大學。  延伸查詢new window
2.吳怜儀(2012)。台指選擇權之隱含波動率實證研究(碩士論文)。國立暨南國際大學。  延伸查詢new window
圖書
1.Reehl, Coldwell B.(2005)。The Mathematics of Options Trading。New York:McGraw Hill。  new window
2.黃嘉斌(2011)。選擇權賣方交易總覽。台北:寰宇出版公司。  延伸查詢new window
3.陳威光(2010)。選擇權:理論、實務與風險管理。  延伸查詢new window
 
 
 
 
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