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研究生:黃國益
研究生(外文):HUANG, KUO-YIH
論文名稱:中性市場下同類及不同類選擇權交易策略之風險與報酬特徵分析
論文名稱(外文):An Analysis of Risk/Return Characteristics for Same Type and Different Type Option Trading Strategies under Neutral Markets
指導教授:許溪南許溪南引用關係王健聰王健聰引用關係
指導教授(外文):HSU, HSI-NANWANG,CHIEN-TSUNG
口試委員:闕河士菅瑞昌林靖中許溪南王健聰
口試委員(外文):CHUEH, HO-SHIHCHIEN, ANDYLIN, CHING-CHUNGHSU, HSI-NANWANG,CHIEN-TSUNG
口試日期:2019-12-06
學位類別:博士
校院名稱:國立高雄科技大學
系所名稱:財務金融學院博士班
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:2019
畢業學年度:108
語文別:中文
論文頁數:76
中文關鍵詞:中性市場選擇權策略風險/報酬特徵蝶式價差鐵蝴蝶策略
外文關鍵詞:Neutral market option strategiesRisk/return characteristicsButterfly spreadIron butterfly strategy
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「中性市場」下,證劵價格在特定時間內狹幅移動,因此報酬為線性的證券較難獲利,但使用中性市場選擇權交易策略仍可獲利。選擇權交易策略分為三大類:(1)與標的證劵之組合、(2)同類選擇權之搭配、(3)不同類選擇權之搭配。因同類與不同類選擇權之搭配策略,兩類的風險與報酬特徵差異很大,故本文各取一種策略作為分析對象。為解決中性市場下標的證劵難以獲利,並考量「風險控管」因素,以及中性市場趨勢比率不小,本文以蝶式價差及鐵蝴蝶策略為例,從理論與實證探討其風險與報酬特徵,最後總結使用中性市場策略最為有效的市場環境及策略特徵。影響中性市場策略報酬最重要的變數是股價成長率μ,股市長期平均趨勢(μ > 0)並非是中性市場,使用中性市場策略無法獲利。台灣股市常出現特定時間屬於中性市場,標的資產難以獲利,若能善用中性市場策略,並有效設定履約價格與μ方向及幅度一致,定可以穩定獲利。
In neutral markets, asset prices change within a narrow window, thus securities with linear returns are difficult to profit; however, using neutral option trading strategies are easy to profit in such markets. The option trading strategies can be divided into three categories: (1) combination with the underlying securities, (2) combination of the same type options, and (3) combination of the different type options. Due to the risk/return characteristics of the combinations of the same type options and the different type options are quite different, this dissertation takes an option strategy from each type of combinations as a represetative of analysis. To take advantages of “being not easy to profit for the underlying securities in neutral markets”, “risk controll”, and “the fairly proportion of the neutral market trend”, this dissertation uses a butterfly spread strategy and an iron butterfly strategy as examples to theoretically and empirically investigage their risk/return characteristics and then to infer the effective market environments and strategy features of using neutral option trading strategies. This dissertation also finds that the most important variable that influences the strategy returns is the growth rate of stock prices, μ. For most markets, the long-term growth rates of stock prices are not neutral (μ > 0), thus application of neutral option market strategies is not profitable. In Taiwan, stock market often shows a neutral market feature (μ ≈ 0) in some specific periods, trading underlying stocks is not easy to profit; however, using neutral option strategies and properly adjusting the strike price in consistent with the growth rate can be profitable.
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 vi
圖目錄 vii
壹、緒論 1
一、研究背景與動機 1
二、研究目的 3
三、論文結構 3
貳、文獻探討 5
一、選擇權交易策略之實務運用 5
二、選擇權交易策略之風險/報酬特徵之實證研究 7
參、中性市場下之選擇權交易策略理論分析 10
一、中性市場下之交易策略報酬分配理論模型 10
二、中性市場下之交易策略風險/報酬特徵分析 26
肆、實證方法 41
一、資料來源與取樣方法 41
二、實證類別與比較 42
三、模型建立與實證步驟 43
四、台灣股市特定期間屬於中性市場的比率 45
伍、實證結果與分析 46
一、蝶式價差策略報酬分配實證結果與理論模型之比較 46
二、反向鐵蝴蝶策略報酬分配實證結果與理論模型之比較 49
三、蝶式價差策略風險/報酬特性實證結果與理論模型之比較 53
四、鐵蝴蝶策略風險/報酬特性實證結果與理論模型之比較 55
五、台灣股市特定期間屬於中性市場比率之實證分析 59
六、適合中性市場選擇權交易策略操作的市場環境及策略特徵 60
陸、結論與建議 64
一、研究結論 64
二、研究限制與建議 65
參考文獻 67
附錄 69


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