Analysis of Pricing Performance on TAIEX Options

• Main Authors: SHEN,WAN-TING, 沈琬婷
• Other Authors: Kuo,Shew-Huei
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/63466912606236003278

碩士 === 國立雲林科技大學 === 財務金融系 === 104 === This research analyzes the valuation of financial models using the stochastic volatility model of Heston(1993) and the two-factor stochastic volatility model of Rüdiger and Florentin(2015). This research examines the forecasting performance of these two models. This study uses intraday data on TAIEX call options and the period of the data ranges from November 2, 2015 to December 31, 2015. The forecasting performance of the models is also examined using data classified on the basis of moneyness. The empirical results show that the two-factor stochastic volatility model has better performance when mixed data is used. However, when data is classified by moneyness, the stochastic volatility model of Heston performs better than the two-factor stochastic volatility model.