| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === This study mainly researches the TXO which is Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) option that is daily closing prices from 2004 to 2006 and the TAIEX in Taiwan futures exchange and the Taiwan Economic Journal Data Bank (TEJ).
First, this study screens the out-of-the-money call and put options which is market tendency anticipated value in recent months.
Second, this study calculates the option skewness and kurtosis according to the out-of-the-money options which are screens by the option daily transaction. The results are the stratey which trade in stock market. Third, this study using the Black-Scholes option pricing model and put-call parity calculate the implied volatility of the put and call options according to the out-of-the options which are made daily price in recent months. Fourth, this study drew the volatility smile chart by the implied volatility and estimate the reliability of the skewness.
Finally this study researchs the empirical study on TXO and TAIEX from 2004 to 2006. This study do not cover transaction costs and taxes.Under these circumstances, the volatility of the skewness on the TXO affects notably the trade strategy on the TAIEX. And this study concludes the transaction risk do not rise through the standard test.
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