Delta中立選擇權避險策略之研究

Abstract

全球金融風暴近年來發生頻率愈來愈快，主要的原因就是許多企業不管是在發行或投資衍生性金融商品的比重都大幅地增加，卻沒有規避它們潛在的市場風險。因此，避險策略的好壞是風險管理上很重要的一個議題。本研究的目的主要是希望在一個Delta Neutral的投資組合下，加入Delta-Gamma Neutral策略能夠使間斷調整避險的效果變得比較好。故本研究透過加入相同標的物和到期日，但不同履約價的選擇權作為避險部位，使用蒙地卡羅模擬法，模擬投資組合在持有一段時間後，未來價值可能的情境，計算風險值來衡量其避險效果。實證結果發現，當原始投資組合部位為價平選擇權所組成，避險部位若能使用相同標的物，到期日也相同，但履約價不同的價平選擇權，不論在到期日長短，皆有很好的避險效果。

The global financial storm has happened more rapidly. The most important reason is that many enterprises published or invested in the derivatives ratio which has greatly increased without evading the potential market risk. Therefore, the advantages and the disadvantages of hedging strategy is a crucial issue in risk management. This research’s primary goal is to consider Delta-Gamma Neutral strategy in the invested combination of Delta Neutral that render the effect of discretely rebalance hedge became much better. The research entered the same underlying and expiration date, and let the different strike price’s option as hedging position. Using Monte Carol Simulation to obtain the condition of the portfolio’s value after holding a period of time, and compute the value-at-risk to measure hedging effect. The outcome showed that the hedging effect will be nice no matter the date of expiration by using at-the-money options with the same underlying and expiration date but different strike price when the original portfolio was composed of at-the-money options.