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題 名 | 波動性模型之評價與避險=Valuation and Hedge of the Volatility Models |
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作 者 | 王毓敏; 楊嘉銘; 謝志正; 林芝榕; | 書刊名 | 商管科技季刊 |
卷 期 | 8:3 2007.09[民96.09] |
頁 次 | 頁337-368 |
分類號 | 563.54 |
關鍵詞 | 歷史波動性; 隱含波動性; 平滑後的歷史波動性; 臺股指數選擇權; GARCH; Historical volatility; Implied volatility; Ad hoc B-S; Taiwan index option; |
語 文 | 中文(Chinese) |
中文摘要 | 本文以台股指數選擇權為對象,使用歷史波動性模型、隱含波動性模型、EGARCH(1,1)模型及平滑後的歷史波動性模型,來探討不同波動性模型的評價誤差與避險績效,並分析造成評價誤差的原因。本文的實證發現,在評價誤差方面,整體而言,隱含波動性模型對買權及賣權的評價誤差最小,隱含波動性模型之理論價格低估了市場價格;而歷史波動性模型、EGARCH(1,1)模型及平滑後的歷史波動性模型之理論價格則大多高估了市場價格;接著,在評價誤差與金融特性關係方面,各波動性模型之評價誤差與價內價外程度、股價指數報酬率、股價指數波動性、距到期日及無風險利率等因素,大多具有顯著的線性關係。最後,在避險誤差方面,當其他條件不變下,距到期日天數越短者,其避險誤差越小。整體而言,避險期間對避險誤差的影響並不一致,而採delta動態避險策略時,隱含波動性模型之避險績效最佳。 |
英文摘要 | This study compares the valuation errors and hedging performances of historical volatility model, implied volatility model, EGARCH (1,1) model and Ad hoc BS model for the Taiwan Index Option (TXO). First of all, the valuation errors in TXO of the BS-IV model are the smallest among all volatility models. In the whole, the BS-IV (implied volatility) model underprices the market value, BS-HV (historical volatility), BS-EV (EGARCH (1,1)) and Ad hoc BS model overprice the market value respectively. Next, there exist the linear relationships between the valuation errors and moneyness in TXO mostly. At last, in view of hedging errors, the other thing being equal, the shorter is the maturity, the smaller is the hedging error. On the whole, the impacts of the hedging periods on the hedging errors are not consistent. Adopting the delta dynamic hedging strategy, the hedging performances of the implied volatility model are the best ones. |
本系統中英文摘要資訊取自各篇刊載內容。