Survey sentiment and option smile

CHUR > College of Management > Department of Finance > Seminar Papers > Item 987654321/28705

Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/28705

Title:	Survey sentiment and option smile
Authors:	陳怡璇 Chen, Yi-Hsuan
Contributors:	財務管理學系 Finance
Keywords:	投資者情緖;選擇權之隱含波動度微笑曲線;套利;歐洲美元選擇權市場 Survey sentiment;Option smile;Arbitrage;Eurodollar options markets
Date:	2013
Issue Date:	2014-06-27 00:06:19 (UTC+8)
Abstract:	本研究探討投資者情緖與歐洲美元選擇權之隱含波動度微笑曲線之關係。投資者情緖如何影響歐洲美元選擇權之隱含波動度微笑曲線？及情緖趨動投資人與套利者的動態關係如何影響隱含波動度微笑曲線的變化。假始交易者透過交易不同moneyness的選擇權契約傳達情緖，隱含波動度微笑曲線則不若理性模型下般的平坦。本研究蒐集芝加哥商品交易所（CME）所提供歐洲美元選擇權交易及報價資料並測試研究假說，資料期間含蓋1998至2008。本研究亦提供兩個競爭性假說－套利限制及正向回饋假說，來描述情緖趨動投資人與套利者的動態關係，來瞭解套 This paper found that the presence of interest rate smile neither be fully explained by the model misspecification nor by the buying pressure. First, volatility smile obtained from alternative interest rate models is not flat and interest rate smile signi
Appears in Collections:	[Department of Finance] Seminar Papers

Files in This Item:

File	Description	Size	Format
s_m333_0179.pdf		26Kb	Adobe PDF	229	View/Open