An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option

碩士 === 東海大學 === 財務金融學系 === 103 === Since the Britten-Jones and Neuberger (2000) proposed the model-free implied volatility. Jian and Tian (2005) test ability of model-free implied volatility by using S&P 500 option. In the past, the BS model has model misspecification error. For this reason, thi...

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Main Authors:	CHAO, PO-CHUN, 趙柏竣
Other Authors:	KUO, I-DOUN
Format:	Others
Language:	zh-TW
Published:	2015
Online Access:	http://ndltd.ncl.edu.tw/handle/dcvba8

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spelling	ndltd-TW-103THU003040092019-05-15T22:07:30Z http://ndltd.ncl.edu.tw/handle/dcvba8 An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option 無模型設定隱含波動度之實證研究: 以台灣股票指數選擇權為例 CHAO, PO-CHUN 趙柏竣碩士東海大學財務金融學系 103 Since the Britten-Jones and Neuberger (2000) proposed the model-free implied volatility. Jian and Tian (2005) test ability of model-free implied volatility by using S&P 500 option. In the past, the BS model has model misspecification error. For this reason, this paper explore: (1)model-free, BS, historical implied volatility on the ability to predict future volatility(2) information content of model-free, historical and implied volatility, We found that model-free volatility is superior to BS implied volatility and historical volatility. KUO, I-DOUN 郭一棟 2015 學位論文 ; thesis 34 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 東海大學 === 財務金融學系 === 103 === Since the Britten-Jones and Neuberger (2000) proposed the model-free implied volatility. Jian and Tian (2005) test ability of model-free implied volatility by using S&P 500 option. In the past, the BS model has model misspecification error. For this reason, this paper explore: (1)model-free, BS, historical implied volatility on the ability to predict future volatility(2) information content of model-free, historical and implied volatility, We found that model-free volatility is superior to BS implied volatility and historical volatility.
author2	KUO, I-DOUN
author_facet	KUO, I-DOUN CHAO, PO-CHUN 趙柏竣
author	CHAO, PO-CHUN 趙柏竣
spellingShingle	CHAO, PO-CHUN 趙柏竣 An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option
author_sort	CHAO, PO-CHUN
title	An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option
title_short	An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option
title_full	An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option
title_fullStr	An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option
title_full_unstemmed	An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option
title_sort	empirical study on the model-free implied volatility-the case of taiwan stock index option
publishDate	2015
url	http://ndltd.ncl.edu.tw/handle/dcvba8
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An Empirical Study on the Model-Free Implied Volatility-The case of Taiwan Stock Index Option

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