臺灣博碩士論文加值系統

The long call condor strategy is an options strategy that aims to profit from a range-bound market scenario while limiting potential losses. Evaluating and managing the risk associated with this strategy is essential for successful implementation in order to balance potential profit and risk exposure while also ensuring that the position is consistent with the trader's investment goals and risk tolerance. This study aims to analyze the valuation that comes with the risk resulting from long call condor strategy and its management in the underlying price’s risk. To evaluate the strategy, various steps are taken. The pricing and sensitivity analysis involve calculating theoretical option prices using options pricing models and analyzing potential profit or loss at different stock price levels. This analysis helps identify the strategy's risk-reward profile, breakeven points, maximum profit, maximum loss, and profitable stock price ranges. Our findings suggest that a long condor strategy trader benefits from the underlying asset with a lower risk, a lower interest rate, and short-run contracts. Regarding risk management, the study also derives several Greek letters to measure the degrees of movements in strategy values with related factors. The study suggests that a long condor strategy trader can moderately manage the strategy’s risks since the Greek letters’ dynamics perform stably. Managing the risks of a long call condor involves monitoring the individual options positions and the overall strategy to maintain the desired risk-reward profile. Our study recommends the long condor strategy for traders with above-average risk tolerances since the strategy has advantages in easy risk management, potentially stable returns, and specific goals compared to market movement. Proper valuation and risk management can increase the probability of success with this strategy.

Chapter I: Introduction 1
1.1Motivations 1
1.2 Questions 2
1.3Aims and objectives 6
1.4 Contribution 7
1.5 Structure and outline 9
Chapter II: Literature 13
2.1 Background Information 13
2.2 Constructing and Valuing the Long Call Condor Strategy 15
2.3 Review of Market Uncertainty and Volatility 16
2.4 Risks management 19
2.5 How time decay impacts long call condors 20
2.6 Review of the Black-Scholes-Merton Model 22
Chapter III: Methodology 24
3.1 Assumptions 24
3.2 Pricing the Long Call Condor Strategy 26
3.3 Risk Management of Condor Strategy 30
Chapter IV: Numerical Analysis 32
4.1 Long call condor strategy’ values 32
4.2 Sensitivity Analyses 38
4.3 Risk management of long call condor strategy 57
Chapter V: Conclusion 59
5.1 Conclusion 59
5.2 Study limitations and future research 60
Chapter VI: References 63

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