政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60203
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113160/144130 (79%)
造訪人次 : 50760322      線上人數 : 842
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 >  Item 140.119/60203
    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/60203


    題名: Delta中立選擇權避險策略之研究
    Hedging strategies for delta neutral options
    作者: 張哲瑋
    Chang,che wei
    貢獻者: 陳春龍
    謝明華

    Chen,chuen lung
    Hsieh,ming hua

    張哲瑋
    Chang,che wei
    關鍵詞: 避險策略
    風險值
    Delta
    Gamma
    Delta-Gamma Neutral
    Hedging strategies
    Value-at-Risk
    Delta
    Gamma
    Delta-Gamma Neutral
    日期: 2009
    上傳時間: 2013-09-04 16:56:35 (UTC+8)
    摘要: 全球金融風暴近年來發生頻率愈來愈快,主要的原因就是許多企業不管是在發行或投資衍生性金融商品的比重都大幅地增加,卻沒有規避它們潛在的市場風險。因此,避險策略的好壞是風險管理上很重要的一個議題。本研究的目的主要是希望在一個Delta Neutral的投資組合下,加入Delta-Gamma Neutral策略能夠使間斷調整避險的效果變得比較好。故本研究透過加入相同標的物和到期日,但不同履約價的選擇權作為避險部位,使用蒙地卡羅模擬法,模擬投資組合在持有一段時間後,未來價值可能的情境,計算風險值來衡量其避險效果。實證結果發現,當原始投資組合部位為價平選擇權所組成,避險部位若能使用相同標的物,到期日也相同,但履約價不同的價平選擇權,不論在到期日長短,皆有很好的避險效果。
    The global financial storm has happened more rapidly. The most important reason is that many enterprises published or invested in the derivatives ratio which has greatly increased without evading the potential market risk. Therefore, the advantages and the disadvantages of hedging strategy is a crucial issue in risk management. This research’s primary goal is to consider Delta-Gamma Neutral strategy in the invested combination of Delta Neutral that render the effect of discretely rebalance hedge became much better. The research entered the same underlying and expiration date, and let the different strike price’s option as hedging position. Using Monte Carol Simulation to obtain the condition of the portfolio’s value after holding a period of time, and compute the value-at-risk to measure hedging effect. The outcome showed that the hedging effect will be nice no matter the date of expiration by using at-the-money options with the same underlying and expiration date but different strike price when the original portfolio was composed of at-the-money options.
    參考文獻: 1.Alexander, C. (2001). Market Models: A Guide to Financial Data Analysis, Wiley, Chichester, U.K.
    2.Black, F., and Scholes, M. (1973). The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, No. 3., pp. 637-654.
    3.Bookstaber, R., and Langsam, J. A. (1988). Portfolio Insurance Trading Rules, Journal of Futures Markets, Vol. 8, No. 1, pp. 15-31.
    4.Hull, J. C. (2003). Options, Futures and Other Derivatives, 5th ed. Prentice Hall, Upper Saddle River, N.J.
    5.Jorion, P. (2000). Value at Risk. McGraw-Hill, N.Y.
    6.Kurpiel, A. and Roncalli, T. (1998). Option Hedging with Stochastic Volatility. Available at SSRN: http://ssrn.com/abstract=1031927.
    7.Merton, R. C. (1973). Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, Vol. 4, No. 1, pp. 141-183.
    8.Morgan, J.P. and Reuters, (1996). RiskMetrics Technical Document, 4th edition.
    9.Robins, R. P. and Schachter, B. (1994). An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-based Techniques, Management Science, Vol. 40, No. 6, pp. 798-808.
    描述: 碩士
    國立政治大學
    資訊管理研究所
    97356006
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097356006
    資料類型: thesis
    顯示於類別:[資訊管理學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    600601.pdf407KbAdobe PDF21284檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋