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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32592


    Title: 考慮交易成本的選擇權交易策略
    Option Trading Strategies with Transaction Costs
    Authors: 陳明瑩
    Chen, Ming-ying
    Contributors: 劉明郎
    Liu, Ming-lang
    陳明瑩
    Chen, Ming-ying
    Keywords: 交易成本
    選擇權交易策略
    整數線性規劃
    選擇權套利機會
    transaction costs
    option trading strategies
    integer linear programming
    option arbitrage opportunities
    Date: 2006
    Issue Date: 2009-09-17 13:48:40 (UTC+8)
    Abstract: 投資者面對到期日相同的ㄧ序列不同履約價格的選擇權，已有許多文獻提出如何建立選擇權最佳投資組合，但模型中均未考慮交易成本。選擇權在實際市場的交易過程中，投資者所支付的手續費與賦稅即為選擇權的交易成本。本論文針對買賣到期日相同但不同履約價格的買權與賣權如何組合，提出考慮交易成本的整數線性規劃模型，建立選擇權最佳交易策略。我們不考慮股價變動的機率分配型態，延伸楊靜宜 (2004)所建立之整數線性規劃模型和Liu與Liu (2006)的大中取小模型，建構考慮比例制、固定制與混合制交易成本之整數線性規劃模型。最後，我們以台指選擇權(TXO)為例，驗證模型的效能。
    關鍵字：交易成本，選擇權交易策略，整數線性規劃，選擇權套利機會。
    There are many researchers focus on constructing the optimal strategies and propose integer linear programming (ILP) for a series of options which are on the same maturity date with different strike price, but they neglect transaction costs in their models. The transaction costs of options are the handling charge and taxes which investors should pay for trading in the market. The thesis proposes an ILP with transaction costs to construct the optimal strategy for an option portfolio of call- and put- options on the same maturity date with different strike price. We leave the distribution of the variety of stock price out of consideration and extend Yang’s (2004) model and Liu & Liu’s (2006) min-max regret model to construct ILP with proportional, fixed, and mixed transaction costs. Finally, we take the trading data of TXO as an empirical study to test and verify the efficiency of our models.
    Key words: transaction costs, option trading strategies, integer linear programming, option arbitrage opportunities.
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    Sass, J. (2005), "Portfolio Optimization under Transaction Costs in the CRR Model." Mathematical Methods of Operations Research 61, 239-259.
    Stettner, L. (2000), "Option Pricing in Discrete Time Incomplete Market Models." Mathematical Finance 10(2), 305-321.
    陳松男 (2003)，在間斷性避險及交易成本下的選擇權評價模型：以實務觀點修正理論，風險管理學報 第一卷第二期，43-54。
    楊靜宜 (2004)，選擇權交易策略的整數線性規劃模型，政治大學應用數學系碩士論文。
    Description: 碩士
    國立政治大學
    應用數學研究所
    94751017
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094751017
    Data Type: thesis
    Appears in Collections:[Department of Mathematical Sciences] Theses

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