English  |  正體中文  |  简体中文  |  Items with full text/Total items : 66984/66984 (100%)
Visitors : 22635112      Online Users : 257
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version


    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/71772


    Title: 台指選擇權賣方交易策略分析 -勒式部位
    Authors: 連啟超;Lien,Chi-Chao
    Contributors: 財務金融學系在職專班
    Keywords: 台指選擇權;交易策略;賣出勒式;TAIEX Options;Trading Strategy;Short Strangle
    Date: 2016-07-27
    Issue Date: 2016-10-13 13:51:45 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 擁有一個穩定獲利的投資策略為所有投資人的夢想與目標,然而市場上許多策略不是操作上過於複雜,就是需要龐大資金部位。因此本研究主旨在探討透過台指選擇權賣方權利金時間價值消逝的特性,來建構一個適合投資大眾的最適投資策略。
    本研究以2012年~2016年的台指選擇權交易資料為研究對象,透過台指週選擇權與月選擇權的搭配運用進行分析,實證分析的結果顯示,賣出勒式並參與結算為不判斷多空走勢的最佳策略,若進一步分別在週選擇權與月選擇權採取各自最佳策略,更可取得獲利大幅提升的最適策略。
    ;The purpose of this paper is to examine the profitability of an option-trading strategy which is constructed by shorting strangles. The profit of the shorting-strangle strategy is made from the decay of the component options’ time value when the options are approaching to their maturity.
    This study is conducted based on the daily data of TAIEX options which are collected from Taiwan Futures Exchange including the period from November 2012 to February 2016. The strangle used in this paper is constructed with the combination of the weekly and monthly options and all of them are hold to maturity. The empirical results indicate that the shorting strangle strategy is a good strategy which provides stable profit in both the uptrend and downtrend market.
    Appears in Collections:[財務金融學系碩士在職專班] 博碩士論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML344View/Open


    All items in NCUIR are protected by copyright, with all rights reserved.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback  - 隱私權政策聲明