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| 研究生： |
楊靜宜 |
|---|---|
| 論文名稱： |
選擇權交易策略的整數線性規劃模型 Option Trading Strategies with Integer Linear Programming |
| 指導教授： | 劉明郎 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
理學院 - 應用數學系 Department of Mathematical Sciences |
| 論文出版年： | 2004 |
| 畢業學年度： | 92 |
| 語文別： | 中文 |
| 論文頁數： | 37 |
| 中文關鍵詞： | 選擇權交易策略 、整數線性規劃 、選擇權套利機會 |
| 外文關鍵詞： | options trading strategies, integer linear programming, options arbitrage opportunities |
| 相關次數： | 點閱：142 下載：93 |
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投資者面對到期日相同的一序列不同履約價格的選擇權時，應如何建立最佳的組合交易策略，這個問題雖已有許多標準的交易公式可依循，但這些標準的交易策略無法全面涵蓋複雜多變的組合策略。本論文提出整數線性規劃模型用來建立選擇權的最佳交易策略。模型針對到期日相同的買權、賣權如何買賣的組合，建立最佳交易策略。若我們預期在到期日時，標的股價將會落在某一範圍內，則我們可修改原來的規劃模型配合此項預期，以尋求最佳的交易策略。最後，我們以Ericsson的選擇權為例，驗証本模型的效能。
The problem of how to construct the optimal combination trading strategy for investors when they face a series of options of different exercise prices on the same maturity date can be solved by many standard trading rules. Yet these standard trading rules cannot completely cover the complex and highly changeable combination strategy. This thesis proposes an integer linear programming (ILP) model to construct the optimal trading strategy for option portfolio selection. This model focuses on constructing the optimal strategy for an option portfolio of call- and put-options on the same maturity date. Given the investor's belief of the stock price, we also provide an extended ILP model to include this belief. Finally, an empirical study will be presented by using the ILP model applied to the Ericsson's call and put options.
摘要 iv
ABSTRACT v
表目錄 vii
圖目錄 viii
第一章 緒論 1
1.1 前言 1
1.2 研究的目的與架構 3
第二章 文獻回顧 4
2.1 選擇權評價公式 4
2.2 選擇權的避險功能 6
2.3 選擇權的套利 7
2.4 選擇權的應用 8
第三章 選擇權交易策略規劃模型 10
3.1 選擇權的到期價值 10
3.2 選擇權的交易策略 13
3.2.1組合式交易策略 13
3.2.2套利策略 16
3.3 交易策略的規劃模型 18
第四章 模型的延伸 24
4.1 期日標的股價大於下限A 24
4.2 期日標的股價小於上限B 25
4.3 期日標的股價落在A與B之間 25
4.4到期日標的股價落在A與B之外 26
第五章 實證研究 28
第六章 結論與建議 34
參考文獻 35
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