| Summary: | 碩士 === 東海大學 === 財務金融學系 === 103 === This paper mainly based on Kang(2014) and Bakshi(2003), using three year’s data(2012 to 2014) of Taiwan Stock Exchange Capitalization Weighted Stock Index Options(TXO). This paper using Arbitrage Pricing Theory(APT) account volatility (this paper called Idiosyncratic Volatility) that can’t predict by macroeconomic variables. Using Bakshi and Kapadia(2003)’s way Delta-Hedge Gains(DHG) of option to account the portfolio’s DHG that consist of TXO and its underlying index. This article find that the higher IVOL, then smaller the premium (using TXO to hedge Taiwan Stock Index).Besides, this article find that option’s moneyness, volume and maturity will infect hedge premium. Besides, IVOL can partly explain the gap between implied volatility and historical volatility.
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