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研究生:姚淨
論文名稱(外文):Is It Worth to Do Charm-adjusted Delta Hedging?
指導教授:陳安行陳安行引用關係
指導教授(外文):CHEN, AN-SING
口試委員:廖則竣鄭揚耀
口試委員(外文):LIAO, CHE-CHENCHENG, LEE-YOUNG
口試日期:2017-06-12
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融系研究所
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:2017
畢業學年度:105
語文別:英文
論文頁數:26
外文關鍵詞:delta hedgingcharm-adjusted delta hedging
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For options expire weekly, the second order derivatives are relatively large; an appropriately adjusted delta can be considered. The time change of delta referred to as charm is considered to be an adjusted term of delta hedge ratio.
This thesis applies the charm-adjusted delta hedging to the index options market. The hedging performance is tested using historical data from November 21, 2012 to December 28, 2016 for weekly options. The results are compared to the delta hedging performance.
The empirical study shows that the charm-adjusted delta hedging provides a more accurate hedge ratio than the delta hedging in the Taiwan equity index options market when implied volatility is relatively stable or the hedge is assumed to be rebalanced daily.

I. Introduction ............................................................................................................1
II. Data and Methodology .........................................................................................4
III. Empirical Results ................................................................................................8
IV. Conclusions.........................................................................................................23
References ................................................................................................................25

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Wu, T. “Pricing and Hedging the Smile with SABR: Evidence from the Interest Rate Caps Market.” Journal of Futures Markets, 32 (2012), pp. 773-791.

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