摘要
衍生性金融商品具有其價值會隨著所依附之標的物價值而波動的特性。其中的期貨契約又是一種高風險、高報酬的投資工具，因此投資人很可能會不自覺將自己的投資暴露在高度風險之下。而套利交易具有「穩定獲利」與「低風險」兩大特性，所以本研究期望能透過套利交易的特性，以「低風險」或「無風險」為前提，從市場中尋找各種的獲利機會。對於套利交易者而言，須即時掌握因市場價格效率偏差下出現的交易機會，因此本研究主要透過指數期貨與指數期貨選擇權間的相關性，在考慮交易成本與稅賦下，建置兩者間套利交易的輔助系統。研究中以期貨與選擇權之間四種基本無風險套利模式為基礎，透過簡易的使用者介面，與系統中快速的資訊回饋機制，試圖讓使用者能更輕易的觀察市場行情，掌握本身部位獲利的變化。
並列摘要
Derivatives are financial securities whose value is derived from another "underlying" financial security. Based on the low-risk or risk-free characteristics of index arbitrage trading, this thesis is to establish a prototype of decision support system to help arbitrage program trading in between TAIEX Futures and TAIEX Options. Three trading strategies: Price (Vertical) Call/Put Spreads, Conversion, and Reversals, are implemented. Both intraday tick data for TAIEX Futures and TAIEX Options during Year 2004 are collected for experiment.
參考文獻
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