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研究生:陳明德
研究生(外文):Ming-te Chen
論文名稱:選擇權交易策略獲利之研究-以臺股指數選擇權為例
論文名稱(外文):A study on profitability of option trading strategies-with TXO
指導教授:黃金生黃金生引用關係
指導教授(外文):Chin-sheng Huang
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:123
中文關鍵詞:比例價差垂直價差
外文關鍵詞:Vertical SpreadsRatio Spreads
相關次數:
  • 被引用被引用:11
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本研究目的在於根據Chaput & Ederington(2003)的「Option Spread and Combination Trading」中提到最常被執行的四種交易策略:跨式組合、比例價差、垂直價差及勒式組合,加上基本買賣權的做多放空作為投資組合的交易策略,來探討台指選擇權交易策略獲利之實證研究,透過固定進場時點的設定、履約價格的調整以及持有至結算日的原則,來計算不同交易策略於2002年1月至2008年12月共七年79期(扣除5期交易資訊不完整)之投資績效。
實證我國「臺指選擇權」結算之79 期到期契約,其結果顯示:
1. 單式交易策略為:操作賣出優於買進;賣出賣權價內平均績效優於賣出賣權價外,但獲利期數則賣出賣權價外優於賣出賣權價內。
2. 在垂直價差交易策略上為:操作多頭價差優於操作空頭價差。買權多頭價差交易策略中買進價內二檔買權部份之獲利期數最高;賣權多頭價差交易策略中買進價外二檔賣權部份之獲利期數最高。
3. 跨式、勒式交易策略為:賣出跨式及賣出勒式,此兩策略表現相對較優於其它各式策略。賣出跨式交易策略賣出價外一檔買權且賣出價內一檔賣權之獲利期數最高,賣出價外二檔買權且賣出價內二檔賣權之平均績效最高;賣出勒式交易策略,賣出價外二檔買權且賣出價平賣權獲利期數最高,賣出價外二檔買權且賣出價內一檔賣權,平均績效最高。
4. 比例價差交易策略為:比例買權前式價差交易策略與比例賣權前式價差交易策略,此兩策略表現相對較優於其它各式策略。比例買權前式價差交易策略在買進1口價外一檔買權且賣出2口價外二檔買權獲利期數最高;比例賣權前式價差交易策略在買進1口價平賣權且賣出2口價外一檔賣權獲利期數最高。
This research goal lies in the basis Chaput & Ederington(2003) 「Option Spread and Combination Trading」Mentioned most often four kind of transaction strategies which carries out: The straddle type combination, the ratio spreads, the vertical spreads and the strangles type combination, in addition the naked position takes the investment profolio the transaction strategy, Discusses TXO to refer to real diagnosis of research the option transaction strategy profit, the penetration fixed approach point in time hypothesis, strike price adjustment as well as has to the settlement date principle, calculated the different transaction strategy from January, 2002 to December, 2008 the altogether seven years 79 issues (to deduct 5 issue of transaction informations uncompletely) the investment achievements.
Real diagnosis our country “TXO” 79th the issue of due contracts settlement, its result showed:
1. The naked position transaction strategy are: The operation sells surpasses buys; Sell puts in- the- money the average achievements to surpass sell puts out-of- the money, but the profit time sell puts out-of- the-money surpass sell puts in- the-money.
2. In the vertical spreads transaction strategy are: Operate bull spreads to surpass the operate bear spreads.Buy Bull call spraed transaction strategy in- the-money at 2 strike prices profit time number to be highest; Buy Bear call spread transaction strategy out-of- the-money at 2 strike prices profit time number to be highest.
3. Straddle、strangle transaction strategy are: Sell straddle and sell strangle, these two strategy performance relative surpasses other various types strategy. sell straddle transaction strategy , Sells out-of-the-money at 1 strike price call transaction strategy and selling at 1 strike price in-the-money put profit time number to be highest , sell out-of- the-money at 2 strike price call and sell in-the-money at 2 strike prices put the average achievements to be highest; Sell strangle transaction strategy,sell out-of-the-money at 2 prices call and sell at-the-money put the profit time number to be highest , sell out-of- the-money at 2 strike prices call and sell in- the-money at 1 strike price put the average achievements are highest.
4. The ratio spreads transaction strategy are: The ratio call front spreads transaction strategy and the ratio put front spreads transaction strategy, these two strategy performance relative surpasses other various types strategy.The ratio call front spreads transaction strategy buy 1 unit out-of-the money at 1 strike price call and sell 2 units out-of-the-money at 2 strike prices call the profit time number to be highest; The ratio put front spread transaction strategy buy 1 unit at-the-money put and sell 2 units out-of-the-money at 1 strike price put the profit time number to be highest.
目錄
摘 要 i
ABSTRACT ii
誌 謝 iv
表目錄 vi
圖目錄 viii
一、 緒論 1
1.1 研究動機與目的 1
1.2 研究架構及流程 5
二、 文獻回顧 6
2.1 選擇權評價模型之發展 6
2.2 選擇權市場效率與選擇權交易策略之國外文獻 8
2.3 選擇權市場效率與選擇權交易策略之國內文獻 11
三、 選擇權交易策略介紹 14
3.1 選擇權之發展歷史及沿革 14
3.2 我國「臺指選擇權」契約介紹 16
3.3 選擇權交易策略介紹 20
四、 實證方法與結果分析 38
4.1 研究方法與實證資料說明 38
4.2 實證結果分析 42
五 結論與建議 58
5.1 結論 58
5.2 建議事項 60
參考文獻 62
附錄 65
一、中文部份
(1)李文興,1997,期貨與選擇權,聯經出版事業。
(2)李存修,2003,選擇權交易之理論與實務,三版二刷,財團法人中華民國證券暨期貨市場發展基金會。
(3)李榮祥,2005,選擇權玩家升級版,初版一刷,台灣培生教育出版股份有限公司。
(4)周孟宣,2006,台指選擇權交易策略實證研究— 以期初持有至到期結算為例,國立中山大學,碩士論文。
(5)邱文昌,2005,國內外選擇權市場發展概述,證券暨期貨月刊第22卷第10期。
(6)邱仕敏,2005,衍生性金融相關論著摘述,台灣期貨市場Taifex Review。
(7)胡僑芸,2003,台指選擇權VIX指數之編制與交易策略分析,國立中山大學,碩士論文。
(8)徐清俊、康登傑,2004,台指選擇權套利與效率性之研究,遠東學報二十一卷第二期,P232-239。
(9)黃美雪,2007,台指選擇權交易策略之獲利可能性研究,國立雲林科技大學,碩士論文。
(10)滑明曙,1999,選擇權估價理論,華泰文化。
(11)陳嘉添,2002,買權賣權評價理論之套利利潤研究-台指選擇權對台指期貨與交易所買賣基金對台指選擇權,國立台灣大學,碩士論文。
(12)陳威光,2001,選擇權:理論、實務與應用,智勝文化出版。
(13)陳柏翰,2005,選擇權的新視野,華南永昌證券專題論述。
(14)劉文浩,2005,選擇權時間遞減越快越好?,經濟日報2005.8.21
(15)盧明祥,2003,台指選擇權實務精解,群意企業出版。
(16)謝明忠,2006,台指選擇權交易策略之研究與實證,國立政治大學,碩士論文。
(17)謝劍平,2003,期貨與選擇權:財務工程的入門捷徑,智勝文化。
(18)龔怡霖,2001,行為財務學文獻回顧與未來發展,國立中央大學,碩士論文。



二、英文部份
(1)Black ,F., and M. Scholes ,1973 ,The Pricing of Option and Corporate Liabilities ,JPE Vol 81.
(2)Chaput & Ederington ,2003,Option Spread and Combination Trading ,The Journal of Derivatives Summer 2003,Vol.10 Issue 4.
(3)Chris Marczak , March 2005 ,You can trade clearly now with ODI , FUTURES TRADING TECHNIQUES.
(4)Cox, J., S. Ross, and M. Rubinstein, 1979, Option Pricing-A Simplified Approach,Journal of Financial Economics, 7, 229-263.
(5)Dan Passarelli ,April 2005 ,Winning with volatility skew ,FUTURES TRADING TECHNIQUES.
(6)Draper P. and Fung J.K.W.,2002, A Study of Arbitrage Efficiency between the FTSE-100 Index FutureS and Options Contracts, The Journal of Futures Markets,Vol.22,No.1,31-58
(7)Duan, J.C. ,1995,The GARCH Option Pricing Models, Mathematical Finance, pp. 13-32
(8)Fung J.K.W.,Cheng L.T.W.,and Chan K.C.,1997,The Intraday Pricing Efficiency of Hong Kong Hang Seng Index Options and Futures Markets, The Journal of Futures Markets,Vol.17,No.7,797-815.
(9)Gerald Gold ,1989,MODERN FUTURES AND OPTIONS TRADING.
(10)James Cordier、Michael Gross ,Dec 2004 ,Selling the strangle in forex option ,Futhers Trading Techniques.
(11)J.Scott Chaput、Louis H. Ederington ,Spring 2005 ,Vertical Spread Design,The Journal of Derivatives
(12)J.Scott Chaput、Louis H. Ederington ,2005, Volatility Trade Design ,The Journal of Futures Markets Vol.25 No.3
(13)Kyriakos Chourdakis ,Spring 2004 ,Non-Affine Option Pricing,The Journal of Derivatives
(14)Lee, J.H. and Nayar N.,1993, A Transactions Data Analysis of Arbitrage between Index Options and Index Futures, The Journal of Futures Markets,Vol.13,No.8,889-902.
(15)MacBeth, J. and L., Merville ,1979, An Empirical Examination of the Black–Scholes Call Option Pricing Model, Journal of Finance, Vol. 34, pp.1173–1186
(16)Merton, R.C.,,1976,Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics, pp. 125-144.
(17)Peter Fortune ,Mar/apr,1996, Anomalies in Option Price:the Black and Scholes Model Revisited.
(18)Steven C. Blank、Colin A. Carter、Brian H. Schmiesing ,1990 ,FUTURES and OPTIONS MARKETS.
(19)Scott Chaput,J.、Ederington,Louis H., Spring 2005,Vertical Spread Design ,The Journal of Derivatives.
(20)Tim Zurick, April 2005,Option Selling Reality And The Cosmic Speed Limit, Futures Trading Techniques
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