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題名 Delta中立選擇權避險策略之研究
Hedging strategies for delta neutral options作者 張哲瑋
Chang,che wei貢獻者 陳春龍<br>謝明華
Chen,chuen lung<br>Hsieh,ming hua
張哲瑋
Chang,che wei關鍵詞 避險策略
風險值
Delta
Gamma
Delta-Gamma Neutral
Hedging strategies
Value-at-Risk
Delta
Gamma
Delta-Gamma Neutral日期 2009 上傳時間 4-九月-2013 16:56:35 (UTC+8) 摘要 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.參考文獻 1.Alexander, C. (2001). Market Models: A Guide to Financial Data Analysis, Wiley, Chichester, U.K.2.Black, F., and Scholes, M. (1973). The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, No. 3., pp. 637-654.3.Bookstaber, R., and Langsam, J. A. (1988). Portfolio Insurance Trading Rules, Journal of Futures Markets, Vol. 8, No. 1, pp. 15-31.4.Hull, J. C. (2003). Options, Futures and Other Derivatives, 5th ed. Prentice Hall, Upper Saddle River, N.J.5.Jorion, P. (2000). Value at Risk. McGraw-Hill, N.Y.6.Kurpiel, A. and Roncalli, T. (1998). Option Hedging with Stochastic Volatility. Available at SSRN: http://ssrn.com/abstract=1031927.7.Merton, R. C. (1973). Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, Vol. 4, No. 1, pp. 141-183.8.Morgan, J.P. and Reuters, (1996). RiskMetrics Technical Document, 4th edition.9.Robins, R. P. and Schachter, B. (1994). An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-based Techniques, Management Science, Vol. 40, No. 6, pp. 798-808. 描述 碩士
國立政治大學
資訊管理研究所
97356006
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097356006 資料類型 thesis dc.contributor.advisor 陳春龍<br>謝明華 zh_TW dc.contributor.advisor Chen,chuen lung<br>Hsieh,ming hua en_US dc.contributor.author (作者) 張哲瑋 zh_TW dc.contributor.author (作者) Chang,che wei en_US dc.creator (作者) 張哲瑋 zh_TW dc.creator (作者) Chang,che wei en_US dc.date (日期) 2009 en_US dc.date.accessioned 4-九月-2013 16:56:35 (UTC+8) - dc.date.available 4-九月-2013 16:56:35 (UTC+8) - dc.date.issued (上傳時間) 4-九月-2013 16:56:35 (UTC+8) - dc.identifier (其他 識別碼) G0097356006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60203 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 資訊管理研究所 zh_TW dc.description (描述) 97356006 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 壹、 緒論 1一、 研究背景 1二、 研究動機與目的 1貳、 文獻回顧 4一、 選擇權評價理論 4二、 實證研究結果 4三、 風險值（VALUE AT RISK, VAR） 6參、 研究方法 8一、 資料蒐集 8二、 BLACK-SCHOLES 模型 9三、 選擇權風險係數 10四、 建置避險模型 13五、 產生模擬情境和結果驗證 14肆、 實證結果 16伍、 結論與建議 26參考文獻 28 zh_TW dc.format.extent 417105 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097356006 en_US dc.subject (關鍵詞) 避險策略 zh_TW dc.subject (關鍵詞) 風險值 zh_TW dc.subject (關鍵詞) Delta zh_TW dc.subject (關鍵詞) Gamma zh_TW dc.subject (關鍵詞) Delta-Gamma Neutral zh_TW dc.subject (關鍵詞) Hedging strategies en_US dc.subject (關鍵詞) Value-at-Risk en_US dc.subject (關鍵詞) Delta en_US dc.subject (關鍵詞) Gamma en_US dc.subject (關鍵詞) Delta-Gamma Neutral en_US dc.title (題名) Delta中立選擇權避險策略之研究 zh_TW dc.title (題名) Hedging strategies for delta neutral options en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1.Alexander, C. (2001). Market Models: A Guide to Financial Data Analysis, Wiley, Chichester, U.K.2.Black, F., and Scholes, M. (1973). The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, No. 3., pp. 637-654.3.Bookstaber, R., and Langsam, J. A. (1988). Portfolio Insurance Trading Rules, Journal of Futures Markets, Vol. 8, No. 1, pp. 15-31.4.Hull, J. C. (2003). Options, Futures and Other Derivatives, 5th ed. Prentice Hall, Upper Saddle River, N.J.5.Jorion, P. (2000). Value at Risk. McGraw-Hill, N.Y.6.Kurpiel, A. and Roncalli, T. (1998). Option Hedging with Stochastic Volatility. Available at SSRN: http://ssrn.com/abstract=1031927.7.Merton, R. C. (1973). Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, Vol. 4, No. 1, pp. 141-183.8.Morgan, J.P. and Reuters, (1996). RiskMetrics Technical Document, 4th edition.9.Robins, R. P. and Schachter, B. (1994). An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-based Techniques, Management Science, Vol. 40, No. 6, pp. 798-808. zh_TW
