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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 楊朝成 | |
dc.contributor.author | Yi-Ming Huang | en |
dc.contributor.author | 黃奕銘 | zh_TW |
dc.date.accessioned | 2021-06-13T04:35:33Z | - |
dc.date.available | 2007-07-21 | |
dc.date.copyright | 2006-07-21 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-07-19 | |
dc.identifier.citation | 一、中文部分
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/33342 | - |
dc.description.abstract | 本研究以台灣期貨市場與選擇權市場為背景,研究期間為2001年12月24日至2005年12月21日。以上述共970個日資料之每日收盤價格進行分析,編製台指選擇權波動率指數。並利用Black-Scholes 選擇權評價模型探討波動率最適模型,以及模擬各式以收取權利金為主要交易目的之選擇權賣方交易策略。
實證結果如下:首先,台指期貨報酬率上升與下降對台指VIX指數的影響方向與效果,則呈現出不對稱情形。意即當台指期貨報酬率下降1%時,台指VIX指數增加的幅度為1.0624%。相較於台指期貨報酬率上升1%時,台指VIX指數減少的幅度1.316%為小。第二、就波動率預估模型得知:1.分別針對加權指數與台指期貨為標的物進行分析比較。得知以台指期貨為B-S模型之標的物,可得較佳之波動率預估模型。此結論亦與實務操作上較為貼近;2.本研究所採用之波動率預估模型,針對買權波動率預估之效果相對較賣權波動率預估之較為佳;3.與其他包括歷史波動率、GARCH、EGARCH、TGARCH等模型相較,最佳波動率預估模型為VIX模型。第三、就未避險與避險交易策略部份而言:本研究所採用的交易策略中是以未避險交易策略中的賣出勒式價外三檔策略的報酬率為最佳;第四、就參與結算是否有利可圖而言:本研究經由實證得知價外三檔參與結算平均月報酬率可增加2.6%。而價平及價外一檔的賣方是不宜參與結算。第五、就檢驗避險的有效性部份:買進鐵蝴蝶策略及買進鐵兀鷹策略的避險策略及Delta-Gamma-Vega Neutral策略,並未優於未避險策略。 | zh_TW |
dc.description.abstract | This thesis consists of three major approaches to justify the Stock Index Option Volatility and the best Strategies. First of all, the market close prices in Taiwan derivatives market are collected since December 24th, 2001 to December 21st, 2005 for total 970 trading days and the Volatility Index (VIX) is defined and calculated. Second, this study tries to find out the best volatility estimation model by utilizing the Black-Scholes option pricing model. Third, various debit-premium based short option strategies are simulated to justify the best Strategies.
The results of the research are as follows. First of all, when comparing to the rate of the Taiwan Stock Index Futures (TX), the rate of return of the composed VIX shown asymmetric characteristics, i.e., when the TX declined 1%, VIX went up 1.0624%; however, when the TX increased 1%, VIX will went down 1.316%. Secondly, by comparing various volatility estimation model, three major findings are shown as follows, (1) The goodness of fit of B-S volatility estimation model applied on the TX is better than on the Taiwan Weighted Stock Index (TWSE); (2) The VIX model adopted in this study performs well to estimate the volatility of Call Option than Put Option; (3) Among the historical volatility Model, GARCH model, EGARCH model, and TGARCH model, VIX model performs the best under the appropriate assumption. Thirdly, based on the hedged or non-hedged strategy, the simulated rate of return will be the highest if we utilized the three strike price Out of Money (OTM) strategy. Fourthly, if the investor held his position until maturity, the simulated rate of return will increase 2.6% under the OTM strategy. However, when the situation is either At the Money (ATM) or nearest-term OTM, it is inappropriate to hold the options till maturity. Last, based on the effectiveness performance of the hedging, this study shows that the performance of Long-Iron Butterfly, Long Iron Condor and Delta-Gamma-Vega Neutral Strategies do not outperform the non-hedged strategies. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T04:35:33Z (GMT). No. of bitstreams: 1 ntu-95-P92745001-1.pdf: 729276 bytes, checksum: bee503301841b1f6bf904dc3301cf5a7 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | 目 錄
第一章 緒 論 10 第一節 研究背景與動機………………………………………… 10 第二節 研究目的………………………………………………… 12 第三節 研究限制………………………………………………… 13 第四節 研究架構……………………………………………… 15 第二章 文獻探討 18 第一節 波動率估計模型………………………………………… 18 第二節 選擇權定價模型……………………………………… 20 第三節 VIX指數………………………………………………… 20 第四節 風險值模型……………………………………………… 21 第五節 交易策略………………………………………………… 22 第三章 理論模型與研究方法 26 第一節 波動率估計方法………………………………………… 26 第二節 避險理論………………………………………………… 36 第三節 賣方交易策略…………………………………………… 40 第四節 績效指標………………………………………………… 44 第五節 風險管理─SPAN值分析………………………………… 45 第四章 實證結果與分析 53 第一節 資料來源與處理………………………………………… 53 第二節 台指期貨與台指VIX指數之關係…………………………53 第三節 波動性模型.................................................... 57 第四節 交易策略模擬 59 第五章 結論與建議 65 第一節 結論……………………………………………………… 65 第二節 建議……………………………………………………… 67 參 考 文 獻 68 圖 目錄 圖1 研究架構流程圖 17 圖2 台指期貨與台指VIX指數走勢圖 54 表 目錄 表1 台指期貨報酬率上升的ANOVA表及參數估計值 55 表2 台指期貨報酬率下降的ANOVA表及參數估計值 55 表3 波動率模型實證結果 57 表 4 特殊的交易月份資料分佈情形 60 表 5 四種不同履約價的未避險策略實證績效表 60 表 6 歷年來欲收取100萬元權利金所需建立的口數(月平均口數) 61 表 7 四種不同履約價的買進鐵蝴蝶價差策略及鐵兀鷹策略實證績效表 62 表8 四種不同履約價的DELTA-GAMMA-VEGA NEUTRAL策略實證績效表 63 表9 未避險策略虧損月份分析(以最後第四個交易日的SPAN值變動率及累計變動率分析之) 64 | |
dc.language.iso | zh-TW | |
dc.title | 台指選擇權波動率與交易策略之實證研究-- 賣方策略、買進鐵蝴蝶及鐵兀鷹策略、Delta-gamma-vega Netural策略 | zh_TW |
dc.title | Research of Taiwan Stock Index Option Volatility and Strategies— Short Option Strategy, Long Iron Butterfly and Iron Condor, and Delta-gamma-vega Neutral Strategies | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳勝源,邱靖博 | |
dc.subject.keyword | 波動率指數,波動率預估模型,選擇權賣方策略,買進鐵蝴蝶及鐵兀鷹策略,希臘字母參數中立策略, | zh_TW |
dc.subject.keyword | Volatility Index (VIX),Volatility Estimation Model,Short Option Strategy,Long Iron Butterfly and Iron Condor Strategy,and Delta-gamma-vega Neutral Strategy, | en |
dc.relation.page | 71 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2006-07-20 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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