自從1973年，Black-Scholes模型發明後在歐式股票選擇上獲得的重大突破之後，而近代的財務工程大都受此模型影響而發展。Black-Scholes模型中的一個重要假設是資產報酬率為對數常態分配，若此假設成立，則同一時間點之不同的履約價對應出的隱含波動度需為單一常數，但實際上市場交易的結果發現波動度行為並非如此。實證結果發現，同一時點不同履約價對應波動度的關係圖並非理論上的水平線而是會依標的物種類的不同而呈現特定形式的不對稱偏移，此現象稱為波動度不對稱效果或波動率微笑曲線現象。在各種微笑曲線現象的研究和相關的文獻之中，權益選擇權的?斜現象的成因探討最為特殊且複雜，不僅如此，不同研究的結論之間存在不同的見解但卻都有各自的實證資料支持各自的假說。由此推論，波動度之微笑現象的成因應屬於系統內生且為動態性複雜問題。本研究依照Coyle的系統動態錐形因果建模分析方法，先針對Black-Scholes模型之價平資訊內涵深入分析，其次以文獻中股價之因果關係圖推論波動度之實際行為，再以依市場供需觀點建立選擇權市場之因果環路模型，最後推論出權益選擇權的微笑現象是因投資者對企業系統風險的主觀評估所造成，並且與各文獻之相關實證見解得到統一的結論。 Since 1973, the Black-Scholes model invented has made a major breakthrough on European stock options. Most of the modern financial engineering leverage by the model. If the model is true, the implied volatility at different strike prices should be a single constant. However, the empirical result of volatility to strike price diagram is not a horizontal line, but performed as some specific types of curves. This phenomenon is called ‘volatility smile’. Among different types volatility smile, the reasons about equity option are most special and complex. In the study, we take the process as the cone of influence diagrams by Coyle to modeling the trading behavior. The empirical is starting from the analysis of ATM information to modeling of the system. At the end, we realize the real causes of volatility smile by looking into the influence diagram made in the study.
