隨機過程能否解釋隱含波動率的形態？以台灣衍生性金融市場為例

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 dynam...

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Bibliographic Details
Published in:商管科技季刊 2016-12, Vol.17 (4), p.403-434
Main Authors: 藍宇文(Yu-Wen Lan), 朱孝恩(Shiaw-En Ju), 張力(Li Chang), 曾國安(Kuo-An Tseng)
Format: Article
Language:Chinese
Subjects:
Implied Volatility
Net Buying Pressure
Options
Smile
微笑
淨買壓
選擇權
隱含波動率
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Summary: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.
ISSN:1994-8107