Empirical Performance of Covered-Call Strategy under Stochastic Volatility in Taiwan

隨機波動效果下之掩護性買權實證績效於台灣市場

謝長杰(Chang-Chieh Hsieh) ； 林忠機(Chung-Gee Lin) ； 陳琪龍(Max Chen)

《東吳經濟商學學報》 84期 (2014/03) Pp. 25-46

摘要

傳統的掩護性買權採用固定比例價外的買權作為賣出之標的，而動態調整策略為採用隱含波動度反推固定履約機率下之價外買權作為賣出之標的。然而以往文獻以及實務上皆未考量隨機波動效果的掩護性買權策略。因此本文檢驗具有隨機波動效果下的動態調整策略，並與傳統與固定波動下動態調整的掩護性買權策略作比較，並以買進並持有到到期下的裸部位近月期貨為比較基礎。研究結果顯示，以平均的報酬績效作比較之下，傳統的掩護性買權報酬績效僅些微高於裸期貨部位，固定波動下之掩護性買權報酬績效甚至比裸期貨部位還來的更差，而以隨機波動模型下的掩護性買權策略績效表現最佳。

關鍵字

掩護性買權 ； 動態調整策略 ； 隨機波動

並列摘要

This study examines the performances of conventional strategy and dynamic covered-call strategies, including constant and stochastic volatilities environments in Taiwan. In accordance with prior literatures, the covered-call strategy may roughly boost portfolio return in some specific moneyness. The monthly return of the conventional covered-call strategy is slightly more than the pure futures buy-and-hold strategy on the average. The dynamic strategies adjust the moneyness based on different exercise probabilities under constant volatility and stochastic volatility. Finally, this study points out that the advantage of the dynamic strategy under stochastic volatility is more obvious than constant volatility or conventional strategy.

並列關鍵字

covered-call ； dynamic strategy ； moneyness ； stochastic volatility

參考文獻

Black, F.(1976).The pricing of commodity contracts.Journal of Financial Economics.3,167-179.

Che, S. Y. S.,Fung, J. K. W.(2011).The performance of alternative futures buy-write strategies.Journal of Futures Markets.31,1202-1227.

(Feldman, B. and Dhruv, R. (2004), “Passive options-based investment strategies: The case of the CBOE S&P 500 buy write index.” Ibbotson Associates, July 28, 2004.).

Figelman, I.(2008).Expected return and risk of covered call strategies.The Journal of Portfolio Management.34,81-97.

Heston, S. L.(1993).A closed-form solution for options with stochastic volatility with applications to bond and currency options.Review of Financial Studies.2,327-343.