题名

波動度選擇權的隱含波動度

并列篇名

The Implied Volatility of VIX Options

作者

陳威光(Wei-Kuang Chen)；郭維裕(Wei-Yu Kuo)；黃暐能(Wei-Neng Huang)；王朝生(Chao-Sheng Wang)

关键词

波動度選擇權 ； 隱含波動度 ； 笑狀波幅 ； VIX options ； Implied volatilities ； Volatility smile

期刊名称

風險管理學報

卷期/出版年月

15卷1期（2013 / 06 / 01）

页次

57 - 80

内容语文

繁體中文
中文摘要

本文的目的在檢驗以及分析波動度指數選擇權（VIX option）的笑狀波幅特性。本文採用2006年2月24日至2010年6月30日芝加哥選擇權交易所的波動度指數選擇權資料，代入Whaley（1993）的波動度選擇權模型來計算波動度指數選擇權的隱含波動度。本文發現波動度指數選擇權的隱含波動度具有以下特性：（1）隱含波動度隨著履約價格的提高而上升，其笑狀波幅大致呈現由左下往右上的型態，與一般股價選擇權的笑狀波幅剛好相反；（2）愈長期的合約的隱含波動度愈低；（3）到期日越短，笑狀波幅越陡峭，即價內和價外選擇權的隱含波動度的差距加大；（4）波動度指數與其隱含波動度具有正向的不對稱關係，即波動度指數上漲將使其隱含波動度上升，且其上升的幅度大於波動度指數下跌使波動度指數波動度下降的幅度。此外，本文也發現在波動度指數選擇權價格中，到期時間扮演著相當重要的角色，不論是從樣本內的配適度或是從評價結果來看，加入到期時間因子後，評價誤差都有大幅的降低。
英文摘要

This paper uses Whaley (1993) volatility option model and Black (1976) futures option model to compute and analyze the implied volatilities from VIX options traded in CBOE. We find four characters in these implied volatilities of VIX options: 1) the higher the strike price, the higher the implied volatility; 2) the shorter the maturity, the higher the implied volatility; 3) the shorter the maturity, the steeper the shape of the implied volatility curve; 4) the change in implied volatility is larger when VIX increases comparing to those when VIX decreases. Besides, this paper finds that maturity is a key factor that has an important impact on the option prices.
主题分类 社會科學 > 經濟學
社會科學 > 管理學
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