| dc.description.abstract |
In the past, the Black-Sholes model, studied by Black-Scholes(1973), was the basis for an option pricing model, but it frequently misprices deep in-the-money and deep out-of-the-money options. Hence, a lot of literature proposed different model designed to overcome most of its limitations. On the other hand, value at risk（VaR）has become one of the most important tools for risk management, and many research papers have been published in the academic field. But there is little the relevant research to explore between the two field. Therefore, in order to gain a deeper understanding of the relationship between the two categories, we choose the Taiwan Stock Exchange（TAIEX）as the theme, and use the option to obtain the implied stock price index and compute the corresponding VaR to do the related research.
Based on the selection pricing model proposed by Jarrow and Rudd(1982), this study uses the adjusted model to overcome the Black-Sholes model, and then gets the implied probability distribution of TAIEX with using the historical data prices to calculate VaR to compare. We find that using the option pricing model proposed by Jarrow and Rudd(1982)to do risk management, it would be a better reference and easier to implement than the thing that taking time to look at financial statements or public information. | en_US |