Using the Expected Final Return Model to Create Optimal Trading Strategy for Options: A Theoretical and Empirical Study Based on Evidence from Short Combination Strategy

運用期望到期報酬模型建立選擇權最佳賣出組合策略之理論與實證研究－以賣出組合策略為例

黃明官(Ming-Guan Huang) ； 吳明遠(Ming-Yuan Wu)

《財務金融學刊》 27卷3期 (2019/09) Pp. 111-145

https://doi.org/10.6545/JFS.201909_27(3).0004

摘要

This study uses quantitative method to develop expected final return models for option trading. The models are applied to TAIEX weekly and monthly options to verify the effectiveness in creating combination strategy. Empirical results indicate that 30-day and 365-day volatility are suitable for weekly and monthly options, respectively. The resulting profits reveal that short straddle is better than short strangle, and weekly option is beneficial than monthly option. Moreover, optimal expected final return strategy yields higher actual returns than all other strategies. Additionally, profits from optimal expected final return strategy are greatly greater than those from fixed exercise price strategy.

關鍵字

Options ； combination strategy ； financial quantitative ； expected final return model

並列摘要

本文運用計量法推導選擇權組合策略之期望到期報酬模型，並應用於週及月到期台指選擇權以確認篩選組合策略的效益性。實證結果顯示，週及月到期分別採用30與365日波動率最適宜。獲利表現上，賣出跨式優於勒式且週到期優於月到期，最佳期望到期報酬策略均獲得最大累計實際到期報酬，而且獲利績效亦皆顯著優於固定履約價格策略。

並列關鍵字

選擇權 ； 組合策略 ； 財務計量 ； 期望到期報酬模型

參考文獻

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