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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95131


    Title: 臺指選擇權各種空部份組合交易策略下的實現利潤
    Authors: 陳威任
    Contributors: 杜化宇
    陳威任
    Keywords: 空部位
    選擇權
    組合部位
    波動率風險溢酬
    Date: 2009
    Issue Date: 2016-05-09 15:15:45 (UTC+8)
    Abstract: 臺灣於民國九十年推出臺灣股票指數選擇權後，作為健全市場、並提供投資
    人充分避險管道之商品，卻少有研究探討臺灣股票指數選擇權在Delta中立交易
    策略下的實現報酬。在國外市場的交易策略實證研究中，發現利用賣出選擇權的
    Delta中立交易策略，在各種到期日及價性下，實現報酬皆有顯著的獲利空間。
    但是相關實證研究，模擬策略的交易資料多取樣於經濟穩定、民生承平的年代。
    在遭逢次級房貸金融風暴襲捲的時代背景丕變，我們感興趣的是國內選擇權的交
    易策略是否依然有在經濟穩定時期的可觀顯著利潤；若其獲利依然顯著可觀，則
    相較經濟風暴尚未發生的年代，交易策略的報酬是增是減，造成此改變的理由是
    什麼？在經由設計交易策略實證探究後，本研究發現，在各種避險交易策略的實
    現報酬在次級房貸金融風暴發生期間，獲利金額與實現報酬在多數情況下反而更
    高、且更為顯著。
    Reference: 參考文獻
    中文部份
    1. 王琮賢, （2004）“波動率風險溢酬之實證研究-以臺灣認購權證為例” 國立
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    2. 游舒淳, （2006）”不同模型之股價波動度預測比較”國立中央大學財務金融
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    3. 黃崇銓, （2007）”Model-free隱含波動率價差之遠期資訊”國立中央大學財
    務金融研究所碩士學位論文
    英文部份
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    Description: 碩士
    國立政治大學
    財務管理研究所
    95357027
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357027
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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