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    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。
    ;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

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