林金龍臺灣大學:經濟學研究所羅秉政Luo, VincentVincentLuo2010-05-052018-06-282010-05-052018-06-282009U0001-2907200915002100http://ntur.lib.ntu.edu.tw//handle/246246/179562本文探討實現波動率應用於台灣指數選擇權市場上波動率交易的有效性。 我們使用delta中立投資組合來交易波動率，讓實現波動率維持固定值，然後將實現波動率當作delta的參數。在計算實現波動率時，我們選擇的抽樣區間為25分鐘，結果發現此方法平均而言可以帶來正的利潤。這也恰好接近特徵圖形建議的最佳抽樣區間。實證結果顯示此種最佳實現波動率可為一個優良的動態避險所需的波動率參數，相較於使用隱含波動率當作為參數的平均利潤標準差，使用實現波動率明顯有較佳的表現。We investigate the usefulness of realized volatility in trading volatility in Taiwan index option market. Instead of using straddle, we use delta neutral portfolio to trade the mispriced volatility. The realized volatility is held constant and used as the input parameter for delta. We choose the sampling frequency to be 25 minutes and find that the strategy could bring positive profit on average. This sampling frequency coincides with the one that is suggested by signature plot as well. Our empirical finding shows that the delta hedging strategy with realized volatility as its parameter outperforms the one with implied volatility in terms of the average profit relative to the standard deviation.Acknowledgement i摘要 iiAbstract iii Introduction 1 Empirical Methods and Literatures Review 4.1 Volatility Trading 5.2 Implied Volatility 10.3 Realized Volatility 13 Simulation and Empirical Results 17.1 Simulation with Constant Volatility 17.2 Simulation with Time Varying Volatility 29.3 Empirical Results 36 Conclusions and Further Research 49References 51application/pdf1016363 bytesapplication/pdfen-US選擇權交易波動率交易實現波動率動態避險option tradingvolatility tradingrealized volatilitydynamic hedgingthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/179562/1/ntu-98-R96323017-1.pdf