李存修臺灣大學：財務金融學研究所潘文良Pan, Wen-LiangWen-LiangPan2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60861Option prices are assumed to contain unique information about how market participants assess the likelihood of different outcomes for future market prices. The main object of this study is to analyze the potential value of information contained in prices of options on the TAIEX index at Taiwan Stock Exchange. The information is extracted using implied risk-neutral density functions. This paper compares the quality and information contents in three alternative methods — the Black-Scholes model, the mixture of two lognormal, and the implied volatility function — by transforming these option data into the RNDs. The method based on a mixture of lognormals density is found to rank first. Despite of the different methodology in these three approaches, they lead to typical characterization of negative skewness and leptokurtosis. This implies the investors risk averse attitude in Taiwan market.Contents 1. Introduction 1 2. The relationship between option prices and RND functions 5 2.1 The Black-Scholes (1973) formula and its RND function 5 2.2 The implied volatility smile curve 7 2.3 Option prices and risk-neutral densities 9 3. Literature on the RND estimation 11 4. Methodology 17 4.1The Two-Lognormal Mixture Distribution Method for Equity Index Options 17 4.2Implied volatility functions model 20 4.3Data Sources 23 5. RESULTS 24 5.1 Performance comparison 24 6. CONCLUSIONS 28387761 bytesapplication/pdfen-US隱含機率分配隱含波動度雙對數常態分配implied volatility functionimplied volatilitymixture-lognormalimplied distributionthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60861/1/ntu-93-R91723067-1.pdf