博碩士論文 964208017 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	財務金融學系	zh_TW
DC.creator	羅宏民	zh_TW
DC.creator	Hung-Ming Lo	en_US
dc.date.accessioned	2009-12-23T07:39:07Z
dc.date.available	2009-12-23T07:39:07Z
dc.date.issued	2009
dc.identifier.uri	http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=964208017
dc.contributor.department	財務金融學系	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.abstract	本篇論文利用獨特的交易資料探討選擇權實際的交易報酬與獲利，並檢視是否賣出價外賣權可以獲利。相較於過去的文獻，不論是價外賣權或買權，投資人的賣出部位皆可獲得較高的報酬。然而，價內的選擇權即便極少被交易，其買入部位一樣也有不錯的獲利。這些交易部位的獲利在考慮常見的交易成本後並未消失，但價外選擇權獲利的分配卻非常地極端。當交易價平與價內選擇權時，預測標的指數的能力是較為重要的，然而，交易價外選擇權時，其時間價值與波動度才是影響交易獲利最重要的因素。	zh_TW
dc.description.abstract	This paper investigates real option trading returns and profits using a unique dataset to examine whether selling out-of-the-money (OTM) put options are profitable. Contrary to previous studies, investor short positions of both OTM put and call options earn higher returns. However, buying in-the-money options are also profitable, although they are rarely traded. The profitability of those trading positions is not eliminated from the prevailing friction cost, but the distribution of the OTM option return is very extreme. The predictability of an underlying index is more important when trading at-the-money and in-the-money options, while for OTM options, time value and the volatility are the most important factors that determine an investor’s trading profits.	en_US
DC.subject	選擇權實際的交易報酬與獲利	zh_TW
DC.subject	獲利能力	zh_TW
DC.subject	預測能力	zh_TW
DC.subject	賣出價外賣權	zh_TW
DC.subject	Predictability	en_US
DC.subject	Selling out-of-the-money (OTM) put options	en_US
DC.subject	Real option trading returns and profits	en_US
DC.subject	Profitability	en_US
DC.title	選擇權交易獲利性之分析：以交易資料為例	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	The Anatomy of Option Trading Profitability: Evidence from Transaction Data	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US