| Summary: | 碩士 === 義守大學 === 財務金融學系碩士班 === 93 === Volatility is widely applied in the finical market. It represents the risk standard of the market so that asset allocation, portfolio management, risk control, product pricing, speculation and hedge planning, and so on play a signification role. For this reason, how to precisely estimate the volatility has become a major subject in the financial market that can not be ignored.
In December, 2001, the Taiwan Futures Exchange officially introduced the first option product. Although options exchange has been practiced in other countries for years, in Taiwan , option, a new financial product is still unfamiliar to the public. Therefore, finding an appropriate pricing model to benefit investment is the target of this research. For the time being, the option traded in Taiwan is European options. Among the factors that influence on the values of European options, the volatility of return on underline assets is the most difficult one to estimate.
This article focuses on searching for the most satisfactory model to estimate volatility in the domestic financial market. In the article, we compare time series model (including historical volatility model and GARCH model) and implied volatility model. By different estimation of volatility collecting with traditional Black-Scholes, SRCEV option pricing model, and also lattice algorithm pricing model. We aim at calculating theoretical price among in-the-money, at-the-money, and, out-the-money series, and comparing pricing deviation of theoretical price in order to obtain a better estimating method.
The experimental conclusion in this article indicates that in the domestic stock market implied volatility possesses a better forecasting ability, especially among which, the option contract with maturity shorter than one month has the best forecasting effect.
Finally, the empirical research in this article, we discover that under the assumption of the same volatility model, Black-Scholes model remains the best pricing model.
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