蘇永成臺灣大學：財務金融學研究所方春苹Fang, Chun-PingChun-PingFang2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60677Many empirical studies have indicated that the assumption of Black-Scholes model exhibits systematic biases. In practice, Black-Scholes implied volatilities tend to differ across exercise prices and time to maturity. To overcome the shortcoming, many researchers have contributed to substantial new models. In this article, we test the empirical implications based on Heston and Nandi (2000) GARCH model in the TAIEX options market. As a benchmark model we choose the ad hoc BS model that has the flexibility of fitting to the strike and term structure of observed implied volatilities by using a separate implied volatility for each option. It is found that the GARCH model has smaller valuation errors (out-of-sample) than the ad hoc BS model.1. Introduction 1 2. Preliminary 6 2.1 Options Market 6 2.2 Data description 9 2.3 The Model 13 A. The Closed-Form GARCH Option Pricing Model 13 B. Ad Hoc Black-Scholes Model 19 3. Empirical Analysis 21 3.1 Maximum Likelihood Estimation 21 3.2 In-Sample Estimation 26 3.3 Out-of-Sample Pricing 28 4. Conclusion 32 5. References 34370004 bytesapplication/pdfen-US選擇權波動性GARCHVolatilityOptionsthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60677/1/ntu-93-R91723032-1.pdf