選擇權保證金策略最佳化

隨著國內金融市場自由化趨勢，投資商品日益多元化，投資人有更多避險方法．目前全球選擇權交易所上市的指數選擇權商品中，台灣期貨交易所台指選擇權交易量排名第四，為提升投資人資金配置更有效率運用，針對選擇權多空組合(預期上漲，預期下跌，預期價格小幅震盪，預期不確定漲或跌) ４大方向策略，選出最佳組合策略。　　本論文以台灣期貨交易所選擇權商品為標的，使用各項組合策略篩選，以不同的客戶資料，及不同的交易時間未平倉部位，進行歷史資料測試，產生各實驗結果。試圖提出一套選擇權保證金最佳化策略，提供投資人進行選擇權交易時，能達到客戶資金最有效率應用。

關鍵字

選擇權、保證金、權利金

並列摘要

Along with financial market liberalism trend and invest a merchandise increasingly diversified the investor has more avoid the insurance method. Currently global option exchange index number option merchandise, the Taiwanese futures exchange TXO trade amount ranks the fourth, for promoting the investor funds more efficient make use of aim at a TXO combination (expectation soars, expectation declines, expecting the small of price oscillates, expecting the indetermination rises or falls) 4 main direction strategies and select the best combination strategy. 　　This thesis uses a Taiwanese futures exchange option merchandise. Use various combination strategies with different customer's data and different bargain time data. Carry on the history data test. Put forward a set of TXO Margin optimization strategy. Providing the investor carries on the TXO bargain and can reach the most efficient application of customer's funds.