本論文主要是由兩篇論文所組成，分別為Chapter 1的 Predicting Volatility Using Markov Switching Multifractal Model: Evidence from S&P 100 Index and Equity Options 與 Chapter 2的 The Information content of informed trader in option market：Evidence from the Taiwan index option market. 茲分別摘要如下：Chapter 1 我們以S&P100 的指數選擇權與個股選擇權來估計MSM (Markov Switching Multifractal)、隱含波動度 (implied volatility)、GARCH與歷史波動度 (historical volatility) 對實現波動度 (realized volatility) 預測能力的表現。一些重要的發現如下：第一，我們發現在S&P100 的指數選擇權與個股選擇權，MSM與GARCH 波動度對實現波動度的預測能力較隱含波動度與歷史波動度佳；第二，個股選擇權較指數選擇權難以預測；第三，兩個市場在非全球金融風暴期間較處於全球金融風暴期間有較好的預測能力；第四，個股選擇權的波動度與股票和選擇權的特性有關，而且MSM與隱含波動度的預測能力受到股票與選擇權的特性的影響；最後，我們發現MSM在股票選擇權，對實現波動度的預測能力較隱含波動度佳。
在本論文的Chapter 2，我們檢定了隱含波動度與實現波動度之間的誤差是否與選擇權價格發現有關？有一些重要的發現分別陳述如下：第一，我們發現在日資料與日內資料的分析，選擇權市場的價格發現都與估計的波動度對實現波動度的預測效率有關；第二，在台灣指數選擇權市場，買權與價內選擇權的價格發現能力較佳；最後，流動性變數，例如delta market depth 與 percentage bid-ask spread，在日資料與日內資料的研究中，發現他們也都會影響波動度與實現波動度之間的誤差結果。

In Chapter 1, we evaluate the performance of the ability of Markov-switching multifractal (MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the S&P 100 index and equity options. Some important findings are as follows. First, we find that the ability of MSM and GARCH volatilities to predict realized volatility is better than that of implied and historical volatilities for both the index and equity options. Second, equity option volatility is more difficult to be forecast than index option volatility. Third, both index and equity option volatilities can be better forecast during non-global financial crisis periods than during global financial crisis periods. Fourth, equity option volatility exhibits distinct patterns conditional on various equity and option characteristics and its predictability by MSM and implied volatilities depends on these characteristics. And finally, we find that MSM volatility outperforms implied volatility in predicting equity option volatility conditional on various equity and option characteristics.
In Chapter 2, In this paper, we examine whether the biases of implied volatility regarding the realized volatility is related to the value of option market price discovery. Some important findings are as follows. First, we find the level of option market price discovery could contribute the predictive efficiency of the volatility measure about the realized volatility for daily and intraday data. Second, the call options and in-the-moneyness categories options have greater value of option market price discovery than other options in Taiwan index options. Finally, the liquidity measure, such as delta market depth and percentage bid-ask spread, are also correlated with the biases of volatility measure about the realized volatility for daily and intraday data on call and put options.

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