A Relationship Study about the Implied Volatility Spreads and the Moneyness Indexes
| Autor: | Ta-jen Wu, 吳大任 |
|---|---|
| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 Recently, derivatives have been developed tremendously, and derivatives also play a crucial part in financial markets. Although the length of history of trading derivatives is really short, the volume of trading derivatives increase gradually. Of all derivatives, Taiwan weight stock index options is the most high-profit. The thesis’s data base on spot options(options will expire in this month.) and forward options(options will expires in next month.), and we match the data of call options and put options. Moreover, we derive the Implied volatility from Black and Scholes(1973) Model. In addition, we get the Implied volatility spread through the volatility of call options minus the volatility of put options. By this spread, we can investigate the relationship between Implied volatility spread and moneyness. We put the total data of spot options into regression model, we can find the R square of regression model is 0.493 and the T value of Moneyness factor is significant. Furthermore, we add factors about duration of options into the regression model. We can get the result from putting yearly data of spot options, not only R square of the model is still high, but the T value of Moneyness factor is significant. However, because there was a enormous financial crisis in 2008, there were happened some anomalies frequently. Therefore, the regression result of 2008 is different from the others which can be contributed to the anomalies. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|