The Method of the Optimal Volatility Estimator In Taiwan Index Options Market under Black and Scholes Model

• Main Authors: Jen-Chun-Li, 黎仁鈞
• Other Authors: 倪衍森
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/04601085117948163229

碩士 === 淡江大學 === 管理科學研究所碩士班 === 94 === Taiwan Futures Exchange has distributed the Taiwan Index Option since 2001, suggested that took the option appraisal tool by Black and Scholes Model. In the model contains five variables, respectively be the Underlying Asset price, Exercise Price, Risklss rate of interest, the Period of Maturity and Volatility. It is not easy thing to predict the volatility precisely. The purpose of this research is to find a suitable estimation method to evaluate the price of Taiwan Index Options and find out which estimator is the best. By using intra data of Taiwan Index Options that are collected from morning 9:00 to 1:30 pm between 07/01/2004 to 12/31/2004 as our sample. In this research, we design four types of volatilities including twenty methods. Four types are History Volatility, Garch Volatility, Implied Volatility and GAIV. The estimated values generated from the models were then bring into the Black and Scholes Model and to evaluate the difference between market price and theory market price with a target to find the optimal volatility measure method. The result we find out whether the options are Calls or Puts VGIV is the best estimator which makes least price errors. The effect of the estimator of Time Series Model is general not good, especially History Volatility. And GAIV can improves the effect of GARCH Volatility which makes the theory market price aloof from the market price.