The Method of Determining Daily Settlement Prices of the TAIEX Options －Application of the Implied Volatility Functions

• Main Authors: Sheng-Kai Huang, 黃聖凱
• Other Authors: Wen-Liang Hsieh
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/65118304406981667829

碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === The objective of this thesis is trying to determine the suitable settlement prices of non-active series of Index options. The main two types of implied volatility functions adopted for the application are the base-variable model and strike price, time to maturity models. In regards to the forecasting method, OLS is used for parameterized estimation. The parameters of models are applied for calculating the volatilities and theoretical prices of non-active series of the options. Finally, four testing indicators are adopted to measure forecasting performance of those models. The empirical evidence shows that term structure of implied volatility of the TAIEX options is the most correlated with the base-variable models. Observing estimated results of every trading day, base-variable model has better performance than other models in the four testing indicators.