政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/32592
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113822/144841 (79%)
造訪人次 : 51796308      線上人數 : 477
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 > 理學院 > 應用數學系 > 學位論文 >  Item 140.119/32592


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/32592


    題名: 考慮交易成本的選擇權交易策略
    Option Trading Strategies with Transaction Costs
    作者: 陳明瑩
    Chen, Ming-ying
    貢獻者: 劉明郎
    Liu, Ming-lang
    陳明瑩
    Chen, Ming-ying
    關鍵詞: 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
    日期: 2006
    上傳時間: 2009-09-17 13:48:40 (UTC+8)
    摘要: 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.
    參考文獻: Black, F. and M. Scholes (1973), "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81(3), 637-659.
    Boyle, P. P. and T. Vorst (1992), "Option Replication in Discrete Time with Transaction Cost." Journal of Finance 47(1), 271-294.
    Broadie, M. and J. B. Detemple (2004), "Option pricing: Valuation Model and Applications." Management Science 50(9), 1145-1177.
    Brooke, A., D. Kendrick, and A. Meeraus (1988), GAMS - A User’s Guide, The Scientific Press, Redwood City, CA
    Cox, J. and S. Ross and M. Rubinstein (1979), "Option Pricing: A Simplified Approach." Journal of Financial Economics 7(3), 229-263.
    Dert, C. and B. Oldenkamp (2000), "Optimal Guranteed Return Portfolios and the Casino Effect." Operations Research 48, 768-775.
    GAMS Development Corporation (2003), GAMS - The Solver Manual, Washington, DC.
    Harrison, J. and D. Kerps (1979), "Martingales and Multiperiod Securities Markets." Journal of Ecnomic Theory 20, 381-408.
    Kociński, M. (2004), "Hedging of the European Option in Discrete Time under Proportional Transaction Costs." Mathematical Methods of Operations Research 59, 315-328.
    Konno, H. and H. Yamazaki (1988), "Mean-Absolute Deviation Portfolio Optimization Model and its Application to Tokyo Stock Market." Management Science 37, 519-531.
    Leland, H. (1985), "Option Pricing and Replication with Transaction Costs." Journal of Finance 40(5), 1283-1301.
    Liu, M. L. and S. K. Liu (2006), "Option Trading Strategies with Integer Linear Programming." Submitted to Journal of Operational Research Society.
    Markowitz, H. M. (1952), "Portfolio Selection." Journal of Finance 7, 77-91.
    Melnikov, A. V. and Y. G. Petrachenko (2005), "On Option Pricing in Binomial Market with Transaction Costs." Finance and Stochastics 9, 141-149.
    Merton, R. C. (1973), "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4, Spring, 141-183.
    Merton, R. (1990), Continuous Time Finance. Oxford, Oxford University Press, New York.
    Palmer, K. (2001), "A Note on the Boyle-Vorst Discrete Time Option Pricing Model with Transactions Costs." Mathematical Finance 11(3), 357-363.
    Papahristodoulou, C. (2003), "Option Strategies with Linear Programming." European Journal of Operational Research 157, 246-256.
    Pelsser, A. and T. Vorst (1995), "Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints." Advances in Quantitative Analysis of Finance and Accounting 3A, 205-220.
    Rendleman, R. J. (1995), "An LP Approach to Option Portfolio Selection." Advances in Futures and Options Research 8, 31-52.
    Rubinstein, M. (1994), "Implied Binomial Trees." Journal of Finance 49(3), 771-818.
    Rubinstein, M. and J. Jackwerth (1996), "Recovering Probability Distributions from Option Prices." The Journal of Finance 51(5),1611-1631.
    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。
    描述: 碩士
    國立政治大學
    應用數學研究所
    94751017
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094751017
    資料類型: thesis
    顯示於類別:[應用數學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    101701.pdf44KbAdobe PDF2675檢視/開啟
    101702.pdf60KbAdobe PDF2954檢視/開啟
    101703.pdf83KbAdobe PDF2691檢視/開啟
    101704.pdf165KbAdobe PDF2727檢視/開啟
    101705.pdf284KbAdobe PDF21024檢視/開啟
    101706.pdf287KbAdobe PDF2817檢視/開啟
    101707.pdf226KbAdobe PDF2800檢視/開啟
    101708.pdf142KbAdobe PDF2744檢視/開啟
    101709.pdf112KbAdobe PDF2863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