A study on the Interaction Between the TAIEX Put Option and Spot Market Among Different Moneyness-The Application Neuron Algorithm.

• Main Authors: Tseng YA Ling, 曾雅鈴
• Other Authors: Goo, Yeong-Jia
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/51336794964613043669

碩士 === 國立臺北大學 === 企業管理學系 === 94 === This study is primarily based on daily closing transaction price of TAIEX put option and spot market from January 17, 2002 to December 20, 2005,which amount to 974 observations. And TAIEX is divided into five moneyness by exercise of put option. With three research purposes, the monograph proceeds a relation analysis between these two markets：(1)Based on the former literature which are related to the neutral network pricing model and the relationship analysis of derivative instruments , assess the enter parameters to be considered in the option pricing model. (2)Divide the market into five moneyness as deep-in-moneyness, in-the-moneyness, on-the-moneyness, out-the-moneyness and deep-out-moneyness. Then we adopt VAR(p)-Bi-EGARCH(1,1) to proceed the study on the relationship between the two market, and discuss if there is leading, lagging or mutually feed-back relationship between them.(3)Adopt Back-propagation Networks neutral network as the option pricing model and valuate the forecasted performances. The empirical result is that under deep-out-moneyness, on-the-moneyness and in-the-moneyness, the return rate of the spot market is the leading indicator of the put option market, and by adopting neutral netwok to forecast the value of the option under different moneyness, the hit raio is above 95%, and this also means that there is a high forecasting performance.