買賣權期貨評價誤差與隱含波動度差之應用  Deviations from Put-Call-Futures Parity and the Application of Implied
Volatility Spread

ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 > Item 310904400/63646

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://asiair.asia.edu.tw/ir/handle/310904400/63646

题名:	買賣權期貨評價誤差與隱含波動度差之應用 Deviations from Put-Call-Futures Parity and the Application of Implied Volatility Spread
作者:	楊東曉 Tung-Hsiao Yang, 蔡逸賢 Yi-Hseing Tsai
贡献者:	國立中興大學財務金融系,Department of Finance National Chung Hsing University
关键词:	買賣權期貨平價,隱含波動度差,效率市場,Put-call-futures parity, implied volatility spread, efficient market
日期:	2010
上传时间:	2013-08-07 01:22:04 (UTC+0)
出版者:	國立中興大學財務金融系,Department of Finance National Chung Hsing University
摘要:	Deviations from put-call-futures parity contain information about asset prices and future market movements. Using the difference in implied volatility between call and put options, which is implied volatility spread, we find the dominant explanation power of the implied volatility spread on the deviations of put-call-futures parity. Implied volatility spreads transfer market information into asset prices. Then we show that the implied volatility spread is useful in price discovery. We find that a dynamic investment strategy without transaction costs has 0.5~0.8% average daily abnormal return, especially for the at-the-money and near at-the-money contracts. In addition, we show that volatility smile is an important factor that can affect the predictability of the deviations and the performance of the investment strategy. One major contribution of our results is to provide useful information to investors in making their investment strategies.
關聯:	2010中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

文件中的档案:

没有与此文件相关的档案.

在ASIAIR中所有的数据项都受到原著作权保护.

数据加载中.....