價差與極值理論應用於選擇權交易策略之研究

Application of Extreme Value Theory for Option Trading Strategies

黃裕斌(Yu-Bin Huang)

指導教授 ： 張國華

中原大學/工學院/工業工程研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600401

摘要

選擇權評價模型發展至今已經算是非常成熟的工具，在實務上各方面也都被廣泛地運用。然而，台指選擇權在台灣上市時間嚴格說來並不算長，仍然是非常新穎的衍生性金融商品，相關實證研究並不多。
本研究選用台指選擇權與台指期貨作為研究的重心，運用此兩種衍生性金融商品搭配成一種投資組合；此外利用極值原理將已知的價差計算出一門檻值，利用此門檻值能夠更有彈性決定何時進場進行交易，此價差為買權與賣權權利金之差和選擇權履約價與期貨價格之差兩者之間的差值；更加入了選擇權其理論價與市價的價差的觀念來做為提前出場與否的一項依據。

關鍵字

選擇權評價模式 ； 投資組合 ； 價差 ； 極值理論

並列摘要

Option pricing model is developed very mellow now, and it is to make use of financial derivatives popularly in practice. However, the time that option is to enter the market is not too long, so there has not too much research with option.
The research is chose TXO and MTX to research, and using of the two financial derivatives developed a portfolio. Furthermore, we use the spread to estimate the threshold with extreme value theory, and using the threshold to decide that when should we trade the portfolio more flexible. The spread is option money between call option and put option and futures price and option strike price. Finally, we join the threshold between option theoretical price and market price to decide that we should clear the portfolio early or not.

並列關鍵字

extreme value theory ； spread ； Black-sholes pricing model

參考文獻

[1]Bhattacharya, M. (1980), “Empirical Properties of the Black–ScholesFormula under Ideal Conditions.” Journal of Financial and QuantitativeAnalysis, 15, 1081-95.

[2]Black, F., and M. Scholes, (1973), “The Pricing of Options andCorporate Liabilities.” Journal of Political Economics, 81, 637-659.

[3]B.M. Hill,(1975) “A simple general approach to inference about the tail of

distribution,” Annals of Statistics.

[4]Chalasani, P., S. Jha, and I. Saias, (1996) “Approximate Option Pricing,” Foundations of Computer Science, pp. 244-253.