短天期選擇權契約定價誤差之探討 -以台灣期貨交易所台指週選擇權為例

Abstract

本論文探討短天期選擇權之定價誤差，藉以探討短天期選擇權對選擇權市場的影響。研究的對象為台灣期貨交易所在2012年11月14日推出的台指週選擇權以及原有之近月台指選擇權，並以Put-Call-Future-Parity(PCFP)計算定價誤差。台指週選擇權上市帶來成交量的成長，成交量的成長有助於增加流動性，進而降低定價誤差；另一方面，成交量的成長若來自散戶較多，則雜訊交易的成分會增加，導致定價誤差提升。實證結果顯示在週選擇權上市之後，造成原有之月選擇權定價誤差顯著上升。 另外，本研究比較一週以內到期的月選擇權與週選擇權之定價誤差，和預期結果相同，由於沒有相對應的週期貨，套用PCFP定價模型時，週選擇權必然有較高之定價誤差。因此就降低定價誤差的角度而言，週期貨的推出是有其必要的。

In this paper, we use short-term option pricing errors and volume to investigate the impact of short-term options listed on the options market. The object of this study is the monthly options for TAIEX, and weekly options for TAIEX which was launched on November 14, 2012 by the Taiwan Futures Exchange (TAIFEX). We calculated the pricing error by using Put-Call-Futures Parity (PCFP). The launch of weekly options created increasing trading volume and liquidity, and reduced the PCFP pricing errors. While the noise-trader risk was elevated with increasing trading volume, it would raise PCFP pricing errors. The empirical result shows that the launch of weekly options caused significant increasing in the original monthly options’ PCFP pricing errors. In addition, we compared monthly and weekly options those maturity within one week. The empirical results are consistent with our expectation. Without corresponding weekly futures, weekly options have higher PCFP pricing errors. Therefore, launching weekly futures is necessary to reduce the pricing errors.