隨機波動度下選擇權訂價模型之參數估計與實證分析:以台灣市場為例

Abstract

這篇論文檢驗由Heston(1993)所提出的隨機波動度的選擇權訂價模型在台灣市場的表現。我使用馬可夫鍊蒙地卡羅的方法去估計該模型的參數。我也探討了隨時間變化的偏態係數與峰態係數對此模型表現之潛在的影響。我發現到此模型傾向高估價外的買權和低估價內的買權。此外，每日的波動度之風險報酬有隨著時間而波動的表現；然而證據和分析顯示波動度之風險報酬對Heston的選擇權訂價模型沒有影響。

This thesis examines the stochastic volatility option pricing model suggested by Heston (1993) in Taiwan Market. I employ Markov chain Monte Carlo method to estimate the model parameters. I also discuss the potential effect of time-varying skewness and kurtosis on the performance of the model. It is found that the model tends to overprice out-of-money calls and underprice in-the-money calls. Moreover, the daily volatility risk premium shows a volatile behavior over time; however, the evidence suggests that the volatility risk premium has a negligible impact on the pricing performance of Heston’s model.