Under mild assumptions, the expected returns of call options increase as the strike price becomes higher. Two ways to define option moneyness are the ratio of strike price to stock price (K/S ratio) and log(K/S)/σ. This paper examines the positive relationship between the call option returns and the correspondent risks by establishing linear models regarding the option returns and the two ratios. Furthermore, these ratios can be used to predict the option returns based on the regression models in practice. / text

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.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014. / The use of a Covered Call strategy has long been favoured by investors the world over for its potential to enhance yield in a long-only equity portfolio. There already exists a wealth of research examining the risk and return features and theories of this strategy. This paper aims to contribute to this debate by conducting research that is specific to the South African equity market and considered from the perspective of a retail investor, particularly by tracking the negative friction induced by transaction costs. It also seeks to answer the question of which Covered Call strategies provide the best risk-adjusted returns by pricing various expiry range and moneyness combinations over differing market trend phases during a 13-year period of trade on the JSE.

可轉換公司債兼具了選擇權以及債券的性質，價值又會受到股價之影響，以傳統的方法定價十分不易。由於蒙地卡羅模擬能解決定價問題上狀態變數或許為多維度及路徑相依的問題，Kind 與Wilde 在2004 年提出以蒙地卡羅模擬對可轉債定價，且以最小平方迴歸法估計繼續持有價值，並在僅考慮轉換及還本兩種選擇權及沒有違約風險之下，以數值範例呈現單一迴歸模式無法適當估計繼續持有價值。然而，他們並未進行實證。本研究乃以民國99 年台灣發行的可轉債為研究對象，除考慮發行時的合約條件外，另加上信用評等的考量以將違約機率透過現金流量套入定價過程中，並分別以兩段迴歸及單一迴歸估計繼續持有價值以結合蒙地卡羅模擬，實證結果顯示就可轉債之起始定價的偏差比而言，兩段迴歸得到的結果優於單一迴歸。惟在兩段迴歸之下，超過八成的可轉債其模擬價格依然高於市場價格。實證結果也顯示價性(moneyness)及擔保狀況與定價的偏差有關。 / Convertible bonds (CBs) possess features of both bonds and options, and their prices are affected by the underlying stocks, which make the pricing problem an uneasy task for traditional methods. Since Monte Carlo simulation can handle the problems of path-dependence and multivariate dimensions faced by pricing, Kind and Wilde (2004) suggested to price CBs via least-squares Monte Carlo simulations (LSM), which estimate the continuation values by least squares regression. They also demonstrated that a single regression line could not appropriately estimate the continuation value even only conversion and redemption were allowed and the CB was free of default. So the idea of piecewise regression was recommended to improve the estimation process. However, they didn’t apply piecewise regression to real data. Therefore, piecewise regression together with Monte Carlo simulation were employed to investigate the pricing issue of Taiwan’s CBs. CBs issued on 2010 were selected, besides reviewing the contents of CB’s contracts, default risks based on credit ratings were taken into account to evaluate the discounted cash flows in the pricing procedure. Comparing the estimated model prices of LSM with initial selling prices, the mispricing rates of single regression model and piecewise regression model were obtained for further analysis. Result shows that the modified piecewise regression method performs better in mispricing rate. However, similar to previous findings, 80% of the estimated model prices based on piecewise regressions are still higher than market prices. It also shows that moneyness and guaranteed condition will relate to mispricing rate.