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    题名: 波動度選擇權套利分析與策略：應用於香港衍生性金融市場
    The Long & Short Volatility Option Trading Analysis: With Application to Hong Kong Derivatives Warrants Markets
    作者: 鄭凱名
    Cheng, Kai-Ming
    贡献者: 陳松男
    Chen, Son-Nan
    鄭凱名
    Cheng, Kai-Ming
    关键词: 選擇權
    波動度
    認購權證
    衍生性金融商品
    避險
    套利策略
    投資
    香港
    Options
    Volatility
    Warrants
    Derivatives
    Hedge
    Trading Strategies
    Investment
    Hong Kong
    日期: 1998
    上传时间: 2016-04-22 10:20:28 (UTC+8)
    摘要: 本論文的理論研究先進入選擇權的理論基礎，探討選擇權重要的定價理論與選擇權最新的避險理論，再進一步探討波動度選擇權套利理論，分析利用買權與賣權持入波動度(Long Volatility)或放空波動度(Short Volatility)的組合價值變化。
    First, Our research tries to get into the theoretical base of the options：the important pricing theories and the most advanced hedging ones of the derivatives instruments. Further than that, by analyzing the changes of the portfolio value composed of long volatility and short volatility of call and put options, it would explore the essence of volatility option trading theory.
    參考文獻: 一、 中文部份：
    1.陳皇任，「台灣認購權證評價與避險操作之研究」，國立台灣大學財務金融學研究所碩士論文，民國86年6月。
    2.管顯庭，「備兌認購權證之評價理論與應用-以海外發行之台股備兌認購權證為例」，國立中山大學企業管理學系研究所碩士論文，民國86年6月。
    3.楊國輝，「台灣香港認購權證發行對股價波動性之影響」，國立政治大學金融所碩士論文，民國87年6月。
    4.選擇權與期貨，陳松男著，1996，三民書局
    5.香港股票期權買賣，香港聯交所出版
    6.香港股票期權訓練課程講義，香港聯交所出版
    7.□生指數期貨合約之運用，香港聯交所出版
    8.股票期貨，香港聯交所出版
    9.認識期權合約，香港聯交所出版
    10.買賣期權合約，香港聯交所出版
    11.香港金融衍生市場，郭宇權著，1998，香港明報出版社
    12.透視香港認股證，魏國強著，1998，壹出版公司
    13.認股權證投資與發行策略，胡世芳、史綱主編，1997，樂觀文化
    14.認識股票期權(及其風險)，香港聯交所出版
    15.香港股票投資指南，石鏡泉編，1996，香港經濟日報出版社
    16.中港股票投資必讀，香港商報編印
    17.期權策略手冊，陳溢茂著，1997，香港經濟日報出版社
    18.財務經濟學，陳松男著，1998，華泰出版社

    二、英文部份
    1.Robert L. Welch,Louis Culumovic：”A Profitable Call Spreading Strategy On The CBOE”, The Journal of Derivatives, Spring 1995 .
    2.Guyot & Erik,(1990)：”Asian Warrants Attract Mim”, Asian Finance, Vol.16, Iss.6, p.79.
    3.Black, F. and Scholes, M. (1973) The pricing of options and corporate liabilities. Journal of Political Economy, 81 (May-June), 637-54.
    4.Bowie, J. and Carr, P. (1994) Static simplicity. Risk, 7 (9), 45-49.
    5.Constantinides, G. (1984) Warrant exercise and bond conversion in competitive markets. Journal of Financial Economics, 13, 371-98.
    6.Cox, J.C. and Ross, S.A. (1976) The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-66.
    7.Cox, J.C., Ross S.A. and Rubinstein, M. (1979) Option pricing: a simplified approach. Journal of Financial Economics, 7 (September), 229-63.
    8.Duffie, D. (1992) Dynamic Asset Pricing Theory. Princeton University Press, Princeton, NJ.
    9.Emanuel,D. (1983) Warrant valuation and exercise strategy. Journal of Financial Economics, 12, 211-35.
    10.Garman, M.B. and Kohlhagen, S.W. (1983) Foreign currency option values. Journal of International Money and Finance, 2 (December), 231-7.
    11.Geske, R. (1978) The pricing of option with stochastic dividend yield. Journal of Finance, 33, May, 617-625.
    12.Geske, R. (1979) A note on the analytical formula for unprotected American call options on stocks with known dividends. Journal of Financial Economics, 7, 375-80.
    13.Hull, J. (1997) Options, Futures and Other Derivative Securities. Prentice-Hall, Englewood Cliffs, NJ.
    14.Hull, J. and White, A. (1987) The pricing of options on assets with stochastic volatilities. Journal of Finance, 42, 281-300.
    15.Leabo, D. and Rogalski, R. (1975) Warrant price movements and the efficient market model. Journal of Finance, 30, 163-77.
    16.Merton, R.C. (1973a) Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141-83.
    17.Merton, R.C. (1973b) The relationship between put and call option prices: comment. Journal of Finance, 28(March), 183-4.
    18.Merton, R.C. (1976) Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, Jan-March, 125-144.
    19.Nelken, I. (1996) Handbook of Exotic Options. Irwin, New York.
    20.Nicolas P. B. Bollen “A note on the impact of options on stock return volatility “Journal of Banking & Finance 22, 1998, 1181-1191.
    21.Antoon P. and Ton Vorst (1994) “The Binomial model and the greeks” Journal of Derivatives spring 45-49.
    22.Black-Scholes Merton supplement Risk Sep 1998.
    23.Arthur J. Wilson “Option trading around ex-dividend dates” Journal of Derivatives spring 1996, 49-64.
    24.Espen Gaarder Haug “The Complete Guide to option pricing formulas” 1998 Mc Graw-Hill.
    25.Kevin B Connolly “Buying and selling volatility” 1997 John Wiley.
    26.Neil A. Chriss “Black-Scholes and Beyond Option Pricing Models ” 1997, Irwin.
    27.R. Jarrow & S. Turnbull “Derivative securities” 1996 South-Western college publishing.
    28.Nassim Taleb “Dynamic hedging: managing vanilla and exotic options” 1997 John Wiley.
    30.”From Black Scholes to Black holes” 1992 Risk publication.
    31.”Over the Rainbow” edited by R. Jarrow, 1995 Risk publication..
    32.E. Briys, M. Bellalah, H.M.Mai, F. de Varenne “Options Futures and Exotic Derivatives” 1998 John Wiley.
    33.Robert T. Daigler “ Advanced Options Trading ” 1994 , Probus Publishing Company.
    34.Garman , M. B. and M. J. Klass “On the Estimation of Security Price Volatilities From Historical Data” Journal of Bussiness, 1980 V53n1, Jan P67-78
    描述: 碩士
    國立政治大學
    金融研究所
    g86352004
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001427
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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