Empirical Study of Evaluation of the TAIEX Index Options and the Volatility Arbitrage with the Taiwan Stock Index Futures

• Main Authors: Chia-Min Lin, 林家民
• Other Authors: Philip Hsu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/u969e8

碩士 === 國立虎尾科技大學 === 經營管理研究所 === 99 === Since the Black and Sholes made the evaluation of volatility model, not only the evaluation of volatility has been widely discussed, but also appeared much different option pricing model. Although every model has its theoretical basis, most of them have the problem of huge errors of evaluation in their practice use. In this paper, we used seven types of volatility models, namely Black-Scholes model、exponential smoothing model、GARCH model and four Ad Hoc Black-Scholes models. Attempt to seven volatility forecasting model, on compare the Black-Sholes model to identify where the minimum error were evaluated. And further research and application of the seven kinds of volatility models to predict the volatility of TAIEX futures contract and investigate the performance of volatility arbitrage between TAIEX futures and TAIEX TXO call options. Sample data used in this paper is beginning of January 2002 to November 2009 a total of seven years at the daily prices from the near month TXO call options and TAIEX futures contract. Empirical results, this paper after improve transaction costs and considering transaction tax and fee, still able to generate profitability of 4%.