台指選擇權的＜凸性＞實務研究

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题名:	台指選擇權的＜凸性＞實務研究 < Convexity > in TAIEX Options — Finding and Application
作者:	黃培碩 HUANG, PEI-SHUO
贡献者:	經營管理學系碩士在職專班
关键词:	台指選擇權;凸性;投資組合 TAIEX Options;Convexity;Portfolio
日期:	2019
上传时间:	2019-05-23 02:58:00 (UTC+0)
出版者:	亞洲大學
摘要:	選擇權市場蓬勃發展，尤其是股價指數選擇權，更是成長迅速。國際市場如此，台灣市場亦是如此。台指選擇權從2001年12月上市至今，一路大幅度的成長。2017年年度成交量已來到1.864億口左右，日成交量757768口，是台灣期貨交易所，目前所有的商品中交易量最大的。（2017年台灣期貨交易所，所有商品成交總口數是2.657億口）且未來亦呈現大幅度的成長態勢。有鑑於此，如何利用台指選擇權的商品特性，歸納整理出一套穩健實用的交易策略，不管是針對法人，個人，甚至是投資機構資產管理，都有其迫切性。此次研究，主要針對台指選擇權。觀察大盤股價變化，相對於買權，賣權的權利金報價變化，進而發現台指選擇權的凸性。利用台指選擇權的凸性進行交易策略的測試研究，試圖找出可以長期實務運用的投資策略。 The market for options rights is booming, especially the options of stock index, and it is growing rapidly. This is the case in the international market, as is the Taiwan market. The TAIEX Options has been listed since its launch in December 2001 and has grown substantially. In 2017, the annual turnover has reached 186.4 million Lot, and the daily turnover is 757,768 Lot. It is the Taiwan Futures Exchange, and currently has the largest transaction volume among all commodities. (The 2017 Taiwan Futures Exchange, the total number of transactions of all commodities was 265.7 million Lot) and the future has also shown a substantial growth trend. In view of this, how to use the characteristics of the TAIEX Options to sort out a set of stable and practical trading strategies, whether it is for legal persons, individuals, or even investment institutions asset management, has its urgency. This study is mainly aimed at the choice of the TAIEX Options. Observing the changes in the stock price of the market, relative to the price change of the Call and the Put, and then found the convexity in TAIEX Options. Using the convexity in TAIEX Options to conduct a test study of the trading strategy, trying to find out the investment strategy that can be applied in the long-term practice
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