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題名 臺指選擇權各種空部份組合交易策略下的實現利潤
作者 陳威任
貢獻者 杜化宇
陳威任
關鍵詞 空部位
選擇權
組合部位
波動率風險溢酬
日期 2009
上傳時間 9-May-2016 15:15:45 (UTC+8)
摘要 臺灣於民國九十年推出臺灣股票指數選擇權後，作為健全市場、並提供投資
人充分避險管道之商品，卻少有研究探討臺灣股票指數選擇權在Delta中立交易
策略下的實現報酬。在國外市場的交易策略實證研究中，發現利用賣出選擇權的
Delta中立交易策略，在各種到期日及價性下，實現報酬皆有顯著的獲利空間。
但是相關實證研究，模擬策略的交易資料多取樣於經濟穩定、民生承平的年代。
在遭逢次級房貸金融風暴襲捲的時代背景丕變，我們感興趣的是國內選擇權的交
易策略是否依然有在經濟穩定時期的可觀顯著利潤；若其獲利依然顯著可觀，則
相較經濟風暴尚未發生的年代，交易策略的報酬是增是減，造成此改變的理由是
什麼？在經由設計交易策略實證探究後，本研究發現，在各種避險交易策略的實
現報酬在次級房貸金融風暴發生期間，獲利金額與實現報酬在多數情況下反而更
高、且更為顯著。
參考文獻 參考文獻
中文部份
1. 王琮賢, （2004）“波動率風險溢酬之實證研究-以臺灣認購權證為例” 國立
台灣科技大學碩士學位論文
2. 游舒淳, （2006）”不同模型之股價波動度預測比較”國立中央大學財務金融
研究所碩士學位論文
3. 黃崇銓, （2007）”Model-free隱含波動率價差之遠期資訊”國立中央大學財
務金融研究所碩士學位論文
英文部份
1. Bakshi, G., & Kapadia, N.,(2003) ” Delta-hedged gains and the negative market
volatility risk premium.” Review of Financial Studies, Vol. 16, P. 527–566
2. Bakshi, G., C. Cao, and Z. Chen,(1997) “How often does the call move in the
opposite direction to the underlying?” Review of Financial Studies, Vol. 13, P.
549-584
3. Bates, D., (2000) “Post-87 crash fears in S&P 500 futures options” Journal of
Econometrics, Vol. 94, P181-238
4. Bertsimas, D., L. Kogan, and A. Lo, (2000) “When is time continuous,” Journal
of Financial Economics, Vol. 55, P. 173-204
5. Blair, B., S. H. Poon, and S. J. Taylor, (2001) “Forecasting S&P 100 volatility: the
incremental information content of implied volatility and high frequency index
returns” Journal of Econometrics, Vol. 105, P. 5–26
6. Bollen N., and Whaley R., (2004) “Does net buying pressure affect the shape of
implied volatility functions?” Journal of Finance, Vol. 59, P. 711-753
7. Breeden, D. T., and R. H. Litzenberger, (1978) “Prices of state-contingent claims
implicit in option prices” Journal of Business, Vol. 51, P. 621–651
8. Britten-Jones, M., and A. Neuberger, (2000) “Option prices, implied price
processes, and stochastic volatility,” Journal of Finance, Vol. 55, P. 839–866
9. Buraschi, A., and J., (2001) “The price of a smile: hedging and spanning in option
markets” Review of Financial Studies, Vol. 14, P. 495-527
10. Canina, L., and S. Figlewski, (1993) “The informational content of implied
volatility” Review of Financial Studies, Vol. 6, P. 659–681.
11. Christensen, B. J., and N. R. Prabhala, (1998) “The relation between implied and
realized volatility” Journal of Financial Economics, Vol. 50, P. 125–150
12. Christensen, B. J., C. S. Hansen, and N. R. Prabhala, 2001, ‘‘The telescoping
overlap problem in options data,’’ working paper, University of Aarhus and
University of Maryland.
13. Coval, J., and T. Shumway, (2001) “Expected option returns” Journal of Finance,
Vol. 56, P. 983–1009.
14. Day, T. E., and C. M. Lewis, (1992) “Stock market volatility and the information
content of stock index options” Journal of Risk, Vol. 4, P. 29–46.
15. Derman, E., I. Kani, and N. Chriss, (1996) “Implied trinomial trees of the
volatility smile” Journal of Derivatives, Vol. 3, P. 7–22
16. Driessen, J., and Maenhout, P. (2004). “A portfolio perspective on option pricing
anomalies” working paper, University of Amsterdam Business School
17. Ederington, L. H., and Wei G., (2002) “Is implied volatility an informationally
efficient and effective predictor of future volatility?” Journal of Risk, Vol. 4, P.
29–46.
18. Fleming, J., (1998) “The quality of market volatility forecast implied by S&P 100
index option prices” Journal of Empirical Finance, Vol. 5, P. 317–345
19. French, K., W. Schwert, and R. Stambaugh, (1987) “Expected stock returns and
volatility” Journal of Financial Economics, Vol. 19, P. 3-29
20. George J. Jiang & Yisong S. Tian, (2005) “The model-free implied volatility and
its information content” The Review of Financial Studies, Vol. 18, P. 1305-1342
21. Glosten, L., R. Jagannathan, and D. Runkle, (1993) “On the relation between the
expected value and the volatility of the nominal excess returns on stock” Journal
of Finance, Vol. 48, P. 1779-1801
22. Hansen, P. R., and A. Lunde, 2004, ‘‘Realized variance and market microstructure
noise,’’ Journal of Business and Economic Statistics, Vol. 24, P. 127-161
23. Jackwerth, J., and M. Rubinstein, (1996) “Recovering probability distributions
from option prices” Journal of Finance, Vol. 51, P. 1611-1631
24. Jiang J., and Y. Tian, (2005) “The model-free implied volatility and its
information content” Reviews of Financial Studies, Vol. 18, P. 1305-1342
25. Jorion, P., (1995) “Predicting volatility in the foreign exchange market” Journal
of Finance, Vol. 50, P. 507–528
26. Lamoureux, C. G., and W. D. Lastrapes, (1993) “Forecasting stock-return
variance: toward an understanding of stochastic implied volatilities” Review of
Financial Studies, Vol. 6, P. 293–326.
27. Ledoit, O., and P. Santa-Clara, (1998) “Relative pricing of options with stochastic
volatility,” Working paper, University of California at Los Angeles.
28. Pan, J., (2002) “The jump-risk premia implicit in options: evidence from an
integrated time-series study.” Journal of Financial Economics, Vol. 63, P. 3-50
29. Pong, S., M. B. Shackleton, S. J. Taylor, and X. Xu, (2004) “Forecasting
sterling/dollar volatility: a comparison of implied volatility and AR(FI)MA
models” Journal of Banking and Finance, Vol. 28, P. 2541–2563
30. Rubinstein, M., (1998) “Edgeworth binomial trees” Journal of Derivatives, Vol. 5,
P. 20–27
31. Rubinstein, M., (1994) “Implied binomial trees” Journal of Finance, Vol. 49, P.
771–818.
32. Simon, David, P. (2006) “An examination of short QQQ option trades” The
Journal of Futures Markets, Vol. 27, No. 8, P. 739–770
33. Zhou, B., 1996, ‘‘High-frequency data and volatility in foreign-exchange rates,’’
Journal of Business and Economic Statistics, Vol. 14, P. 45–52.
描述 碩士
國立政治大學
財務管理研究所
95357027
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095357027
資料類型 thesis
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 陳威任zh_TW
dc.creator (作者) 陳威任zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 15:15:45 (UTC+8)-
dc.date.available 9-May-2016 15:15:45 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 15:15:45 (UTC+8)-
dc.identifier (Other Identifiers) G0095357027en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95131-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 95357027zh_TW
dc.description.abstract (摘要) 臺灣於民國九十年推出臺灣股票指數選擇權後，作為健全市場、並提供投資
人充分避險管道之商品，卻少有研究探討臺灣股票指數選擇權在Delta中立交易
策略下的實現報酬。在國外市場的交易策略實證研究中，發現利用賣出選擇權的
Delta中立交易策略，在各種到期日及價性下，實現報酬皆有顯著的獲利空間。
但是相關實證研究，模擬策略的交易資料多取樣於經濟穩定、民生承平的年代。
在遭逢次級房貸金融風暴襲捲的時代背景丕變，我們感興趣的是國內選擇權的交
易策略是否依然有在經濟穩定時期的可觀顯著利潤；若其獲利依然顯著可觀，則
相較經濟風暴尚未發生的年代，交易策略的報酬是增是減，造成此改變的理由是
什麼？在經由設計交易策略實證探究後，本研究發現，在各種避險交易策略的實
現報酬在次級房貸金融風暴發生期間，獲利金額與實現報酬在多數情況下反而更
高、且更為顯著。		zh_TW
dc.description.tableofcontents 目錄
第一章 緒論.................................................................................................................................6
第一節 研究背景與動機................................................................................................6
第二節 研究目的...............................................................................................................7
第三節 研究架構與流程................................................................................................8
第二章 文獻探討與理論基礎............................................................................................. 10
第一節 選擇權投資組合實現報酬與波動率風險溢酬................................... 10
第二節 波動率指數與隱含波動率.......................................................................... 15
第三節 2007~2008年次級房貸事件以及環球金融危機................................. 18
第三章 研究方法..................................................................................................................... 21
第一節 資料來源與資料的選取............................................................................... 21
第二節 波動率的計算與量測.................................................................................... 22
第三節 Delta中立選擇權交易策略......................................................................... 29
第四節 研究模型相關參數計算............................................................................... 33
第四章 實證結果..................................................................................................................... 35
第一節 無條件賣出選擇權策略............................................................................... 36
第二節 無條件賣出跨式、勒式部位..................................................................... 39
第三節 有條件賣出跨式、勒式部位..................................................................... 42
第四節 強制停損停利.................................................................................................. 44
第五節 小結..................................................................................................................... 45
第五章 結論與改進方向....................................................................................................... 47
參考文獻........................................................................................................................................... 59		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095357027en_US
dc.subject (關鍵詞) 空部位zh_TW
dc.subject (關鍵詞) 選擇權zh_TW
dc.subject (關鍵詞) 組合部位zh_TW
dc.subject (關鍵詞) 波動率風險溢酬zh_TW
dc.title (題名) 臺指選擇權各種空部份組合交易策略下的實現利潤zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
中文部份
1. 王琮賢, （2004）“波動率風險溢酬之實證研究-以臺灣認購權證為例” 國立
台灣科技大學碩士學位論文
2. 游舒淳, （2006）”不同模型之股價波動度預測比較”國立中央大學財務金融
研究所碩士學位論文
3. 黃崇銓, （2007）”Model-free隱含波動率價差之遠期資訊”國立中央大學財
務金融研究所碩士學位論文
英文部份
1. Bakshi, G., & Kapadia, N.,(2003) ” Delta-hedged gains and the negative market
volatility risk premium.” Review of Financial Studies, Vol. 16, P. 527–566
2. Bakshi, G., C. Cao, and Z. Chen,(1997) “How often does the call move in the
opposite direction to the underlying?” Review of Financial Studies, Vol. 13, P.
549-584
3. Bates, D., (2000) “Post-87 crash fears in S&P 500 futures options” Journal of
Econometrics, Vol. 94, P181-238
4. Bertsimas, D., L. Kogan, and A. Lo, (2000) “When is time continuous,” Journal
of Financial Economics, Vol. 55, P. 173-204
5. Blair, B., S. H. Poon, and S. J. Taylor, (2001) “Forecasting S&P 100 volatility: the
incremental information content of implied volatility and high frequency index
returns” Journal of Econometrics, Vol. 105, P. 5–26
6. Bollen N., and Whaley R., (2004) “Does net buying pressure affect the shape of
implied volatility functions?” Journal of Finance, Vol. 59, P. 711-753
7. Breeden, D. T., and R. H. Litzenberger, (1978) “Prices of state-contingent claims
implicit in option prices” Journal of Business, Vol. 51, P. 621–651
8. Britten-Jones, M., and A. Neuberger, (2000) “Option prices, implied price
processes, and stochastic volatility,” Journal of Finance, Vol. 55, P. 839–866
9. Buraschi, A., and J., (2001) “The price of a smile: hedging and spanning in option
markets” Review of Financial Studies, Vol. 14, P. 495-527
10. Canina, L., and S. Figlewski, (1993) “The informational content of implied
volatility” Review of Financial Studies, Vol. 6, P. 659–681.
11. Christensen, B. J., and N. R. Prabhala, (1998) “The relation between implied and
realized volatility” Journal of Financial Economics, Vol. 50, P. 125–150
12. Christensen, B. J., C. S. Hansen, and N. R. Prabhala, 2001, ‘‘The telescoping
overlap problem in options data,’’ working paper, University of Aarhus and
University of Maryland.
13. Coval, J., and T. Shumway, (2001) “Expected option returns” Journal of Finance,
Vol. 56, P. 983–1009.
14. Day, T. E., and C. M. Lewis, (1992) “Stock market volatility and the information
content of stock index options” Journal of Risk, Vol. 4, P. 29–46.
15. Derman, E., I. Kani, and N. Chriss, (1996) “Implied trinomial trees of the
volatility smile” Journal of Derivatives, Vol. 3, P. 7–22
16. Driessen, J., and Maenhout, P. (2004). “A portfolio perspective on option pricing
anomalies” working paper, University of Amsterdam Business School
17. Ederington, L. H., and Wei G., (2002) “Is implied volatility an informationally
efficient and effective predictor of future volatility?” Journal of Risk, Vol. 4, P.
29–46.
18. Fleming, J., (1998) “The quality of market volatility forecast implied by S&P 100
index option prices” Journal of Empirical Finance, Vol. 5, P. 317–345
19. French, K., W. Schwert, and R. Stambaugh, (1987) “Expected stock returns and
volatility” Journal of Financial Economics, Vol. 19, P. 3-29
20. George J. Jiang & Yisong S. Tian, (2005) “The model-free implied volatility and
its information content” The Review of Financial Studies, Vol. 18, P. 1305-1342
21. Glosten, L., R. Jagannathan, and D. Runkle, (1993) “On the relation between the
expected value and the volatility of the nominal excess returns on stock” Journal
of Finance, Vol. 48, P. 1779-1801
22. Hansen, P. R., and A. Lunde, 2004, ‘‘Realized variance and market microstructure
noise,’’ Journal of Business and Economic Statistics, Vol. 24, P. 127-161
23. Jackwerth, J., and M. Rubinstein, (1996) “Recovering probability distributions
from option prices” Journal of Finance, Vol. 51, P. 1611-1631
24. Jiang J., and Y. Tian, (2005) “The model-free implied volatility and its
information content” Reviews of Financial Studies, Vol. 18, P. 1305-1342
25. Jorion, P., (1995) “Predicting volatility in the foreign exchange market” Journal
of Finance, Vol. 50, P. 507–528
26. Lamoureux, C. G., and W. D. Lastrapes, (1993) “Forecasting stock-return
variance: toward an understanding of stochastic implied volatilities” Review of
Financial Studies, Vol. 6, P. 293–326.
27. Ledoit, O., and P. Santa-Clara, (1998) “Relative pricing of options with stochastic
volatility,” Working paper, University of California at Los Angeles.
28. Pan, J., (2002) “The jump-risk premia implicit in options: evidence from an
integrated time-series study.” Journal of Financial Economics, Vol. 63, P. 3-50
29. Pong, S., M. B. Shackleton, S. J. Taylor, and X. Xu, (2004) “Forecasting
sterling/dollar volatility: a comparison of implied volatility and AR(FI)MA
models” Journal of Banking and Finance, Vol. 28, P. 2541–2563
30. Rubinstein, M., (1998) “Edgeworth binomial trees” Journal of Derivatives, Vol. 5,
P. 20–27
31. Rubinstein, M., (1994) “Implied binomial trees” Journal of Finance, Vol. 49, P.
771–818.
32. Simon, David, P. (2006) “An examination of short QQQ option trades” The
Journal of Futures Markets, Vol. 27, No. 8, P. 739–770
33. Zhou, B., 1996, ‘‘High-frequency data and volatility in foreign-exchange rates,’’
Journal of Business and Economic Statistics, Vol. 14, P. 45–52.		zh_TW