這一篇文章主要的目的在於檢視 Bollen and Whaley (2004) 所提出來的淨買壓假說 (Net Buying Pressure Hypothesis) 在台指選擇權市場上是否一樣有相同的現象。 在本文的研究當中，我們也發現台指選擇權市場，較符合套利限制假說，包括落後一期的隱含波動率的變化和當期的隱含波動率的變化呈現負相關的現象以及價平選擇權的淨買壓對於價外的選擇權隱含波動率影響的程度較價外選擇權的淨買壓來的小。但是從淨買壓來看，其結果和S&P 500指數選擇權不同，因為台指選擇權的淨買壓，除了深度價外賣權以外，全部都是負數。 另外，本研究也將樣本資料區間中，另外分成總統大選前以及總統大選後這兩個階段來分析選擇權的淨買壓是否對於選擇權的隱含波動率變化仍然具有影響力，其結果發現在總統大選前，對買權來說，買權的市場行為符合套利限制假說。另外對賣權而言，在總統大選前，賣權的市場行為符合學習假說。在總統大選後，對買權而言，買權的市場行為改變為符合學習假說。而對賣權而言，在總統大選後，賣權的市場行為並沒有改變，仍然符合學習假說。 / This paper mainly examines that whether the Net Buying Pressure Hypothesis which is issued by Bollen and Whaley (2004) fits the options market in Taiwan? In this paper, we find that the options market in Taiwan supports the limits to arbitrage hypothesis. These phenomena include the changes of implied volatility with lag one is negative with the changes of implied volatility and the net buying pressure of the at-the-money options have less effect on the changes of the implied volatility in comparison with that of out-of-the-money options. But form the prospect of the net buying pressure, the result is different from that of the S&P 500 index options. This is because the net buying pressures in the options markets in Taiwan are all negative besides the deep-out-of-the-money put options. Besides, this paper also analyzes that whether the net buying pressure in the options market will affect the changes of implied volatility of the options before the President election and after the President election. Our research finds that before the election, the market behaviors support the limits to arbitrate hypothesis for call options. But the market behaviors support the learning hypothesis for put options. After the election, the market behaviors support the learning hypothesis for call options. For put options, the results are the same, which support the learning hypothesis.

This dissertation research focuses on modeling and evaluating multivariate uncertainties and the dependency between the uncertainties. Managing risk and making strategic decisions under uncertainty is critically important for both individual and corporate success. In this dissertation research, we present two new methodologies, the implied binomial tree approach and the dependent decision tree approach, to modeling multivariate decision making problems with practical applications in real options valuation. First, we present the implied binomial tree approach to consolidate the representation of multiple sources of uncertainty into univariate uncertainty, while capturing the impact of these uncertainties on the project’s cash flows. This approach provides a nonparametric extension of the approaches in the literature by allowing the project value to follow a generalized diffusion process in which the volatility may vary with time and with the asset prices, therefore offering more modeling flexibility. This approach was motivated by the Implied Binomial Tree (IBT) approach that is widely used to value complex financial options. By constructing the implied recombining binomial tree in a way so as to be consistent with the simulated market information, we extended the finance-based IBT method for real options valuation — when the options are contingent on the value of one or more market related uncertainties that are not traded assets. Further, we present a general framework based on copulas for modeling dependent multivariate uncertainties through the use of a decision tree. The proposed dependent decision tree model allows multiple dependent uncertainties with arbitrary marginal distributions to be represented in a decision tree with a sequence of conditional probability distributions. This general framework could be naturally applied in decision analysis and real options valuations, as well as in more general applications of dependent probability trees. While this approach to modeling dependencies can be based on several popular copula families as we illustrate, we focus on the use of the normal copula and present an efficient computational method for multivariate decision and risk analysis that can be standardized for convenient application. / text

Researchers criticize predominant expected return models for being imprecise and based on fundamentally flawed assumptions. This dissertation evaluates Implied Cost of Capital, CAPM and the Three-Factor model abilities to estimate returns. We study each models expected return association to realized return and test for abnormal returns. Our sample covers the period 2000 to 2012 and includes 2916 US firms. We find that Implied Cost of Capital has a stronger association with realized returns than CAPM and the Three-Factor model. Implied Cost of Capital also has lower abnormal returns not accounted for by expected returns. Our results suggest that we can replace CAPM and the Three-Factor model with Implied Cost of Capital.

Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. The five essays contained in this thesis elaborate upon three separate but complementary topics within the area of financial market research. First, the price discovery process of asset prices following releases of macroeconomic and monetary policy-related news is investigated. Such analysis can help in improving a central bank's understanding of how market participants update their views about future growth and inflation prospects. Second, an attempt is made to identify the factors which explain the time-varying co-movement of bond and stock prices. This analysis reveals that periods of negative correlation between the two assets tend to coincide with periods of very low investor risk appetite. Third, frequency distributions implied by options prices are often employed by central banks to assess the degree of uncertainty prevailing in markets as well as how the perceived balance of risks concerning future asset price movements is tilted. Various methods have been developed to estimate option-implied frequency distributions and the thesis assesses and compares the robustness of two of the most commonly used methods in central banks. / <p>Diss. Stockholm : Handelshögskolan, 2007 S. 9-16: sammanfattning, s. 17-160: 5 uppsatser</p>

本文主要探討基因演算法(genetic algorithms)與S&P500指數選擇權為研究對象，利用基因演算法的模型來估測選擇權的隱含波動度後，進而求出選擇權的最適價值，用此來比較過去文獻中利用Jump-Diffusion Model、Stochastic Volatility Model與Local Volatility Model來估算選擇權的隱含波動度，使原始BS model中隱含波動度之估測更趨完善。在此篇論文中，以基因演算法求估的選擇權波動度以0.052的平均誤差值優於以Jump-Diffusion Model、Stochastic Volatility Model與Local Volatility Model求出之平均誤差值0.308，因此基因演算法確實可應用於選擇權波動度之求估。 / In this paper a different approach to the BS Model is proposed, by using genetic algorithms a non-parametric procedure for capturing the volatility smile and assess the stability of it. Applying genetic algorithm to this important issue in option pricing illustrates the strengths of our approach. Volatility forecasting is an appropriate task in which to highlight the characteristics of genetic algorithms as it is an important problem with well-accepted benchmark solutions, the models mention in the previous literatures mentioned above. Genetic algorithms have the ability to detect patterns in the conditional mean on both time and stock depend volatility. In addition, the stability test of the genetic algorithm approach will also be accessed. We evaluate the stability of the new approach by examining how well it predicts future option prices. We estimate the volatility function based on the cross-section of reported option prices one week, and then we examine the price deviations from theoretical values one week later.

We examine how investor sentiment affects the changes in implied volatility, and discover investor sentiment has impact on the size of the changes in implied volatility through returns, especially when returns are negative. We examine the short-tern relation between the S&P 500 index returns and the changes of VIX from January 1990 to January 2011, and between the NASDAQ-100 index returns and the changes of VXN from February 2001 to January 2011 with proxy for beginning-of-period investor sentiment at both the daily and weekly level. We find that during high sentiment periods, the negative and asymmetric relation of return to changes in implied volatility can be mitigated significantly. When returns are segregated into positive and negative returns, investor sentiment has different impact on the size of changes in implied volatility. In negative returns, investors are more panic than in positive returns, but the panic can be mitigated significantly when investors are in high sentiment. Thus, sentiment can alter the risk attitude of investors and reduce their panic in the future, especially when market has negative performance.

Univ., Diss.--Münster (Westfalen), 1998.

Thesis (Ph.D.)--University of Nebraska-Lincoln, 2007. / Title from title screen (site viewed May 20, 2008). PDF text: iii, 150 p. ; 617 K. UMI publication number: AAT 3284033. Includes bibliographical references. Also available in microfilm and microfiche formats.

Zugl.: Köln, Universiẗat, Diss., 2005.

A volatilidade implícita é um importante tema no campo das Finanças. Do ponto de vista acadêmico, é crescente o número de pesquisas sobre o conteúdo informacional embutido no preço dos ativos. Na visão do mercado, a volatilidade implícita pode ser negociada diretamente no mercado de derivativos como um ativo, permitindo o seu emprego para diversificação de riscos em carteiras de investimentos. No entanto, o mercado brasileiro carece de um índice de volatilidade oficial e os estudos sobre o tema no Brasil são bastante limitados, sendo urgente a proposta de métodos de obtenção deste índice coerentes com o cenário de liquidez. Assim, essa pesquisa tem como objetivo analisar o conteúdo informacional da volatilidade implícita no Brasil. Para isso foi necessário estimar um índice de volatilidade implícita para o mercado brasileiro (“VIX Brasil”), investigar o impacto da liquidez na volatilidade implícita, analisar a capacidade preditiva da volatilidade implícita em relação à volatilidade realizada futura e verificar a sua eficiência na emissão de sinais de proximidade de eventos de stress. Foram utilizados dados diários sobre o mercado de opções sobre índice de 2002 a 2013. Os principais resultados sugerem que a liquidez das opções afeta a variabilidade da volatilidade implícita ao longo do tempo. Em relação ao conteúdo informacional da volatilidade implícita no Brasil, obteve-se indícios de que (i) há significativa relação com o retorno da bolsa, sendo esta uma relação assimétrica e concentrada nos extremos da distribuição; (ii) a volatilidade implícita brasileira possui informações sobre volatilidade futura realizada além daquela contida na volatilidade histórica, porém é um estimador viesado e ineficiente; (iii) o “VIX Brasil” possui capacidade sinalizadora da proximidade de eventos de stress, em especial quando utiliza-se o limiar de 10% sobre a sua média móvel de 90 dias como abordagem de emissão de sinal. / The Implied volatility is an important topic of research in Finance. From the academics point of view, there is a growing interest in the information embedded in asset prices. From the practitioners view, the implied volatility can be directly traded in the derivatives market as an asset, being a tool for risk diversification in investment portfolios. However, the Brazilian capital market lacks an official volatility index and studies on the subject in Brazil are very limited. Hence, models for volatilities indexes consistent with the liquidity scenario of the Brazilian market are an urgent issue. Thus, this research aims to analyse the information content of implied volatility in Brazil. For achieving this goal, it was necessary to estimate an implied volatility index for the Brazilian market ("VIX Brazil"), to investigate the impact of liquidity in implied volatility, to analyse the predictive power of implied volatility for the future realized volatility and to check its efficiency for issuing early warning signals (EWS) of stress events. Daily data on the options market index over 2002 to 2013 were used. The main results suggest that the liquidity of options affects the variability of implied volatility over time. Regarding the information content of implied volatility in Brazil, evidence was obtained that (i) there is significant relationship with the market return, which is an asymmetric relationship and concentrated at the tails of the probability distribution; (ii) the Brazilian implied volatility has information about the future realized volatility than that contained in the historical volatility, but it´s a biased and inefficient estimator; (iii) the "VIX Brazil" has signalling power concerning the proximity of stress events, especially when it is used the 10% threshold on its moving average 90 days as signal emission approach.