| dc.contributor.advisor | 劉明郎 | zh_TW |
| dc.contributor.advisor | Liu, Ming-lang | en_US |
| dc.contributor.author (Authors) | 陳明瑩 | zh_TW |
| dc.contributor.author (Authors) | Chen, Ming-ying | en_US |
| dc.creator (作者) | 陳明瑩 | zh_TW |
| dc.creator (作者) | Chen, Ming-ying | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 17-Sep-2009 13:48:40 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 13:48:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 13:48:40 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094751017 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32592 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 94751017 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 投資者面對到期日相同的ㄧ序列不同履約價格的選擇權，已有許多文獻提出如何建立選擇權最佳投資組合，但模型中均未考慮交易成本。選擇權在實際市場的交易過程中，投資者所支付的手續費與賦稅即為選擇權的交易成本。本論文針對買賣到期日相同但不同履約價格的買權與賣權如何組合，提出考慮交易成本的整數線性規劃模型，建立選擇權最佳交易策略。我們不考慮股價變動的機率分配型態，延伸楊靜宜 (2004)所建立之整數線性規劃模型和Liu與Liu (2006)的大中取小模型，建構考慮比例制、固定制與混合制交易成本之整數線性規劃模型。最後，我們以台指選擇權(TXO)為例，驗證模型的效能。關鍵字：交易成本，選擇權交易策略，整數線性規劃，選擇權套利機會。 | zh_TW |
| dc.description.abstract (摘要) | There are many researchers focus on constructing the optimal strategies and propose integer linear programming (ILP) for a series of options which are on the same maturity date with different strike price, but they neglect transaction costs in their models. The transaction costs of options are the handling charge and taxes which investors should pay for trading in the market. The thesis proposes an ILP with transaction costs to construct the optimal strategy for an option portfolio of call- and put- options on the same maturity date with different strike price. We leave the distribution of the variety of stock price out of consideration and extend Yang’s (2004) model and Liu & Liu’s (2006) min-max regret model to construct ILP with proportional, fixed, and mixed transaction costs. Finally, we take the trading data of TXO as an empirical study to test and verify the efficiency of our models.Key words: transaction costs, option trading strategies, integer linear programming, option arbitrage opportunities. | en_US |
| dc.description.tableofcontents | 授權書 iii摘要 ivABSTRACT v目錄 vi表目錄 vii圖目錄 viii第一章 緒論 11.1. 研究動機與目的 11.2. 文章架構 2第二章 文獻回顧 32.1. 利用線性規劃求最佳投資組合 32.2. 選擇權的評價方法 42.2.1. 連續時間的選擇權評價模型 42.2.2. 離散時間的選擇權評價模型 52.2.3. 考慮交易成本的選擇權評價模型 52.3. 選擇權的套利規劃模型 8第三章 選擇權交易策略 93.1. 套利策略與線性規劃模型 93.2. 大中取小模型 143.3. 考慮交易成本的規劃模型 17第四章 實證研究 224.1. 資料來源 224.2. 實證結果分析 23第五章 結論 30參考文獻 31 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094751017 | en_US |
| dc.subject (關鍵詞) | 交易成本 | zh_TW |
| dc.subject (關鍵詞) | 選擇權交易策略 | zh_TW |
| dc.subject (關鍵詞) | 整數線性規劃 | zh_TW |
| dc.subject (關鍵詞) | 選擇權套利機會 | zh_TW |
| dc.subject (關鍵詞) | transaction costs | en_US |
| dc.subject (關鍵詞) | option trading strategies | en_US |
| dc.subject (關鍵詞) | integer linear programming | en_US |
| dc.subject (關鍵詞) | option arbitrage opportunities | en_US |
| dc.title (題名) | 考慮交易成本的選擇權交易策略 | zh_TW |
| dc.title (題名) | Option Trading Strategies with Transaction Costs | en_US |
| dc.type (資料類型) | thesis | en |
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