臺灣博碩士論文加值系統

本研究提出了兩個選擇權投資組合模型，以Horasanli (2008) 的選擇權定價模型為基礎，保留原模型計算報酬、避險比率的部分，首先加入模糊理論處理在Horasanli (2008) 模型中的假設變動性參數(如r、σ、S)為固定數值的部分，使模型能夠實際計算選擇權在真實市場中隨時間而變動的各種參數；其次運用多目標達成度的技術來表示投資者所能接受的風險範圍，使其可以根據達成度高低而彈性調整風險比率，改進風險規避的作用；最後比照真實市場的交易方式考量交易成本的計算。為驗證以上所提之模型貢獻，本研究運用兩個實例來實證提出的模型具有在考量交易成本下，處理模糊環境中的投資組合選擇權定價、避險問題的能力，結果顯示所提出的模型能夠更符合真實的市場交易情況，且在風險規避上能夠配合投資者對風險的偏好，彈性調整風險比率區間的寬度，提升模型風險規避的作用。

Two option portfolio models are proposed in this paper. Based on Horasanli (2008)’s option pricing model, we employ the fuzzy sets theorem to deal with the violation of fixed parameters (such as risk ratio and stock price) in the Black-Scholes model, and using multiple objective programming to represent the acceptable range of risks, we make sure it can adjust the risk ratio flexibly and improve the ability of risk aversion with transaction cost. Two examples are demonstrated to show that the proposed model 1 is more in line with actual market transactions to deal with option portfolios and the violation of parameters in a portfolio. The contribution of model 2 is to make risk aversion more flexible than that in Horasanli (2008)’s model for adjusting the range of risk neutralization. It can provide investors with an optimal solution for return and risk values that fit in the corresponding option portfolios.

論文摘要 .............................................................. ii
Abstract ............................................................... iii
目錄 .................................................................. iv
表目錄 ................................................................. v
圖目錄 ................................................................ vi
第一章 緒論 ........................................................... 1
1.1研究背景與動機 .................................................. 1
1.2研究組織結構 .................................................... 5
第二章 文獻探討 ........................................................ 6
2.1選擇權簡介 ...................................................... 6
2.2 Black-Scholes模型介紹 .......................................... 8
2.3多目標決策分析簡介 ............................................. 10
2.4模糊集合理論 ................................................... 11
第三章 選擇權投資組合模型 ............................................. 13
3.1 Horasanli的模型 ............................................... 13
3.2考量最小交易批量之選擇權投資組合模型 ........................... 14
第四章 考量交易成本之選擇權投資組合模型 ............................... 17
4.1 所提出的模型 .................................................. 17
4.2模型1：二階段模糊選擇權投資組合模型 ........................... 19
4.3模型2：考量精確報酬之選擇權投資組合 ........................... 24
第五章 實證分析 ....................................................... 26
5.1模型1實證分析 ................................................. 26
5.2模型2實證分析 ................................................. 29
第六章 結論與未來研究 ................................................. 36
參考文獻 .............................................................. 38
附錄 .................................................................. 41

1. 中文文獻
何友鋒、林建孙、王小璘(民85)，「住孛社區多目標規劃之研究」，設計學報。
林信成、彭啟峰 (民83) ，「Oh! Fuzzy模糊理論剖析」，第三波出版。
簡禎富(民96)，「決策分析與管理」，雙葉出版。

2. 英文文獻(順序全改)
Black, F and Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–59.
Company, R., Jódar, L., Pintos, J.R and Roselló, M.D., 2010. Computing optio pricing models under transaction costs. Computers and Mathematics with Applications 59, 651-662.
Company, R., Jódar, L and Pintos, J.R., 2009. A numerical method for European Option Pricing with transaction costs nonlinear equation. Mathematical and Computer Modelling 50, 910-920.
Damgaard, A., 2006. Computation of reservation prices of options with proportional transaction costs. Journal of Economic Dynamics & Control 30, 415-444.
Dokuchaev, N.G and Savkin, A.V., 1998. The pricing of options in a financial market model with transaction costs and uncertain volatility. Journal of Multinational Financial Management 8, 353–364.
Fang, Y., Lai, K.K., Wang, S.Y., 2005. Portfolio rebalancing model with transaction costs based on fuzzy decision theory. European Journal of Operational Research 175, 879-893.
Gondzio, J., Kouwenberg, R., Vorst, T., 2000. Hedging Options under Transaction Costs and Stochastic Volatility.
Gao, P.W., 2009. Options strategies with the risk adjustment. European Journal of Operational Research 192, 975–980.
Horasanli, M., 2008. Hedging strategy for a portfolio of options and stocks with linear programming. Applied Mathematics and Computation 199, 804–810.
Lauterbach, B., Schultz, P., 1990. Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives. The Journal of Finance 45 No.4,1181-1209.
Lin, C.C., 2011. Option hedging portfolios with minimum transaction lots, working paper submitted to European Journal of Operational Reaserch.
Lee, C.F., Tzeng, G.H., Wang, S.Y., 2005. A new application of fuzzy set theory to the Black–Scholes option pricing model. Expert Systems with Applications 29, 330–342.
Lee, E.S., Li, R.J., 1993, Fuzzy multiple objective programming and compromise programming with Pareto optimum. Fuzzy Sets and Systems 53, 275-288.
Li, X., Qin, Z.F., Kar, S., 2010. Mean-variance-skewness model for portfolio selection with fuzzy returns. European Journal of Operational Research 202, 239–247.
Pirjetä, A., Ikäheimo, S., Puttonen , V., 2010. Market pricing of executive stock options and implied risk preferences. Journal of Empirical Finance 17, 394-412.
Papahristodoulou, C., 2004. Option strategies with linear programming. European Journal of Operational Research 157, 246–256.
Wu, H.C., 2004. Pricing European options based on the fuzzy pattern of Black–Scholes formula. Computers & Operations Research 31, 1069 –1081.
Wu, H.C., 2007. Using fuzzy sets theory and Black–Scholes formula to generate pricing boundaries of European options. Applied Mathematics and Computation 185, 136-146.
Scheuenstuhl, G., Zagst, R., 2008. Integrated portfolio management with options. European Journal of Operational Research 185, 1477–1500.
Yaghoobi, M.A., Tamiz, M., 2007. A note on article “A tolerance approach to the fuzzy
goal programming problems with unbalanced triangular membership function”. European Journal of Operational Research 176, 636-640.
Zadeh, L.A., 1965. Fuzzy set. Information and control 8, 338-353.
Zakamouline, V.I., 2006. European option pricing and hedging with both fixed and proportional transaction costs. Journal of Economic Dynamics & Control 30, 1–25.
3.電子文獻
“Taiwan Future Exchange 臺灣期貨交易所”,http://www.taifex.com.tw/ chinese/
home.asp/