The Research about Implied Volatility Function for Taiwan Stock Index Option
碩士 === 國立高雄第一科技大學 === 金融所 === 98 === We determined the implied volatilities of Taiwan stock index options (TXO) by collecting the price data of TXO and Taiwan stock index futures (TX) from 2002 to 2009, and fitted the implied volatilities as a function of moneyness index and time to expiration. We u...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58209541186567805302 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融所 === 98 === We determined the implied volatilities of Taiwan stock index options (TXO) by collecting the price data of TXO and Taiwan stock index futures (TX) from 2002 to 2009, and fitted the implied volatilities as a function of moneyness index and time to expiration. We used two kinds of functions, the traditional one which divided exercise price by underlying price, and the natural logarithm of the traditional function to determine moneyness index. We also used two kinds of underlyings the spot index and the index futures. We found considering volatilities of TXO：1. Volatility smile does exist. 2. Taking natural logarithm of the traditional moneyness index can improve the goodness of fit of volatility function. 3. Implied volatility is almost a linear function of options’ duration. 4. Volatility smile is asymmetric to moneyness. In-the-money implied volatility is more sensitive to moneyness index than out-of-the-money implied volatility regardless call or put. The slope of in-the-money implied volatility to moneyness index is steeper than the one of out-of-the-money. The curvatures do not have a consistent result.
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