政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31093

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31093

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政大典藏 > College of Commerce > Department of MIS > Theses > Item 140.119/31093

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31093

Title:	台灣期貨交易所商品投資組合保證金計算系統 Goods investment combination margin computing system of
Authors:	邱義恆
Contributors:	楊建民謝明華邱義恆
Keywords:	台灣期貨交易所期貨選擇權保證金貪婪法
Date:	2008
Issue Date:	2009-09-14 09:14:23 (UTC+8)
Abstract:	由於金融環境快速的發展與衍生性金融商品市場的建立，再加上國人對於衍生性金融商品交易量逐年的增加，使得衍生性金融商品保證金的計收方式變得格外的重要。因為若是計收過高的保證金，雖可降低違約之風險，但對交易人而言其交易成本卻提高了，此可能降低交易人投資的意願；反之計收過低的保證金，則交易所將承擔極大的違約風險。故本研究將依台灣期貨交易所現行的保證金制度，利用貪婪法（Greedy Method）設計出一套選擇權保證金策略選取法，並與台灣期貨交易所現行的選擇單制度及先權後期法、先期後法等選擇權保證金策略選取法進行衍生性金融商品保證金抵減率之比較。以找出能為交易人計算出有利之保證金計收方式。
Reference:	英文部份： Hull John C., 2006, Options, Futures, and Other Derivatives, Sixth Edition Jorion, Philippe, 2007, Value At Risk : The New Benchmark For Controlling Market Risk, Third Edition Cormen Thomas H. 2001, Introduction To Algorithms, Second Edition Holz, Rebecca, 2006, International Futures Trading Volume Increases 41%, Futures Industry,10-14 Chicago Mercantile Exchange, Chicago Mercantile Exchange Homepage http://www.cme.com Chicago Board Option Exchange, Chicago Board Option Exchange homepage http://www.cboe.com 中文部份：李俐俐，1995，「選擇權交易保證金制度之探討」，台灣大學商學研究所碩士論文，民國八十四年六月洪靖華，2000，「SPAN對含選擇權投資組合風險值計算之理論與實證」，中山大學財務管理研究所碩士論文，民國八十九年六月陳松男，1996，選擇權與期貨 : 衍生性商品理論與實務，民國八十五年台灣期貨交易所，台灣期貨交易所網站 http://www.taifex.com.tw
Description:	碩士國立政治大學資訊管理研究所 94356041 97
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0094356041
Data Type:	thesis
Appears in Collections:	[Department of MIS] Theses

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