| Summary: | 碩士 === 靜宜大學 === 財務與計算數學系 === 102 === In this study, the R software and JAVA are used to calculate the implied volatility of Taiwan Stock Exchange Capitalization Weighted Stock Index Put Option (TXPO). The implied volatility can provide valuable market information such as risk level and the demand for risk hedge. To obtain implied volatility, an option pricing model , for example Black–Scholes model, is assume to have a theoretical value equal to the current market price under certain volatility of the underlying asset. This specific volatility is then the so called implied volatility. This work aims to investigate the correlation between the TXPO implied volatility and market behavior. Complete trading data of TXPO during the period of time, 2003 to 2012, is first used to calculate the implied volatility, then all the important events which were considered to have big impact of financial market are also collected to compare with the dynamic behavior of the TXPO implied volatility. It is shown that the TXPO implied volatility is a good indicator of risk measurement for Taiwan stock market and some useful dynamic investment strategy based on TXPO implied volatility are designed to gain profit.
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