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Title: | 以標普500指數及其賣權建構風險性最小化之投資組合 Riskiness-minimizing Portfolio Consisting of S&P 500 Index and Put Options |
Authors: | 鄭聰諭 Tsung-Yu Cheng |
Advisor: | 曾郁仁 Larry Y. Tzeng |
Keyword: | 風險性,最適避險比率,標普,選擇權避險,價性, Riskiness,Optimal hedge ratio,Standard and Poor’s,Option hedging,Moneyness, |
Publication Year : | 2023 |
Degree: | 碩士 |
Abstract: | 本研究旨在基於Aumann and Serrano (2008)提出的風險性指標,並循Chen et al. (2014)提出的計算方法,依據2015年的標普500指數及其選擇權之價格資料,尋求以標普500歐式賣權對該指數進行避險下,使投資組合風險性降至最小之方式,並驗證歐式賣權價性與避險效果之間的關係。 Based on the riskiness index developed by Aumann and Serrano (2008), and following the method proposed by Chen et al. (2014), this study seeks to determine the riskiness-minimized portfolio of SPX hedged with European SPX put options, and verify the relation between the effectiveness on hedging and the moneyness of put options according to the market data in 2015. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87801 |
DOI: | 10.6342/NTU202300670 |
Fulltext Rights: | 同意授權(限校園內公開) |
Appears in Collections: | 財務金融學系 |
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ntu-111-2.pdf Access limited in NTU ip range | 1.45 MB | Adobe PDF | View/Open |
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