完整后设资料纪录
DC 栏位语言
dc.contributor.author张智能en_US
dc.contributor.authorChang, Chih-Nengen_US
dc.contributor.author俞明德en_US
dc.contributor.authorYu, Min-Tehen_US
dc.date.accessioned2014-12-12T02:33:59Z-
dc.date.available2014-12-12T02:33:59Z-
dc.date.issued2012en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT070063902en_US
dc.identifier.urihttp://hdl.handle.net/11536/72027-
dc.description.abstract本研究主旨在探讨隐含波动率、歷史波动率与真实波动率之相关性,以及从权证标的个股之产业类别、资本额及股票市价等不同分类方式下,隐含波动率与历史波动率之差异是否会因此而有不同结果,最后探讨隐含波动率与历史波动率之差异,与距权证到期日时间长短是否相关。

实证结果显示隐含波动率、历史波动率以及真实波动率两两间有显着差异,而隐含波动率与历史波动率之相关性较真实波动率高。此外,隐含波动率与历史波动率之差异,会随着权证标的个股不同类别而有影响,其中传产股差异较电子股高;中小型股差异较大型股高;高价股差异较中低价股高。最后,隐含波动率与历史波动率之差异能够被距到期日长短所解释的部分偏低,距到期日长短可能不是两者差异之主要原因。
zh_TW
dc.description.abstractThis paper mainly studies the relationship among implied volatility, historical volatility and actual volatility. In addition, it aims at whether the difference between implied volatility and historical volatility varies from different categories of underlying stock, such as industry, issued capital and stock price. Last, it aims at whether the difference between implied volatility and historical volatility relates to the time to expiration date.

As the empirical results show, there are significant difference among implied volatility, historical volatility and actual volatility. The correlation between implied volatility and historical volatility is higher than implied volatility and actual volatility. In addition, the difference between implied volatility and historical volatility varies from different categories of underlying stock, such as industry, issued capital and stock price. Last, the difference between implied volatility and historical volatility is lack of evidence to prove that it is related to the time to expiration date. Time to expiration date may not the major reason to the difference.
en_US
dc.language.isozh_TWen_US
dc.subject认购权证zh_TW
dc.subject隐含波动率zh_TW
dc.subject历史波动率zh_TW
dc.subject真实波动率zh_TW
dc.subjectWarranten_US
dc.subjectImplied Volatilityen_US
dc.subjectHistorical Volatilityen_US
dc.subjectActual Volatilityen_US
dc.title隐含波动率之实证研究─以台湾认购权证为例zh_TW
dc.titleAn Empirical Study of Implied Volatility on Warrant Market in Taiwanen_US
dc.typeThesisen_US
dc.contributor.department管理学院财务金融学程zh_TW
显示于类别:Thesis