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    题名: 考慮交易成本的選擇權交易策略
    Option Trading Strategies with Transaction Costs
    作者: 陳明瑩
    Chen, Ming-ying
    贡献者: 劉明郎
    Liu, Ming-lang
    陳明瑩
    Chen, Ming-ying
    关键词: 交易成本
    選擇權交易策略
    整數線性規劃
    選擇權套利機會
    transaction costs
    option trading strategies
    integer linear programming
    option arbitrage opportunities
    日期: 2006
    上传时间: 2009-09-17 13:48:40 (UTC+8)
    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。
    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.
    參考文獻: Black, F. and M. Scholes (1973), "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81(3), 637-659.
    Boyle, P. P. and T. Vorst (1992), "Option Replication in Discrete Time with Transaction Cost." Journal of Finance 47(1), 271-294.
    Broadie, M. and J. B. Detemple (2004), "Option pricing: Valuation Model and Applications." Management Science 50(9), 1145-1177.
    Brooke, A., D. Kendrick, and A. Meeraus (1988), GAMS - A User’s Guide, The Scientific Press, Redwood City, CA
    Cox, J. and S. Ross and M. Rubinstein (1979), "Option Pricing: A Simplified Approach." Journal of Financial Economics 7(3), 229-263.
    Dert, C. and B. Oldenkamp (2000), "Optimal Guranteed Return Portfolios and the Casino Effect." Operations Research 48, 768-775.
    GAMS Development Corporation (2003), GAMS - The Solver Manual, Washington, DC.
    Harrison, J. and D. Kerps (1979), "Martingales and Multiperiod Securities Markets." Journal of Ecnomic Theory 20, 381-408.
    Kociński, M. (2004), "Hedging of the European Option in Discrete Time under Proportional Transaction Costs." Mathematical Methods of Operations Research 59, 315-328.
    Konno, H. and H. Yamazaki (1988), "Mean-Absolute Deviation Portfolio Optimization Model and its Application to Tokyo Stock Market." Management Science 37, 519-531.
    Leland, H. (1985), "Option Pricing and Replication with Transaction Costs." Journal of Finance 40(5), 1283-1301.
    Liu, M. L. and S. K. Liu (2006), "Option Trading Strategies with Integer Linear Programming." Submitted to Journal of Operational Research Society.
    Markowitz, H. M. (1952), "Portfolio Selection." Journal of Finance 7, 77-91.
    Melnikov, A. V. and Y. G. Petrachenko (2005), "On Option Pricing in Binomial Market with Transaction Costs." Finance and Stochastics 9, 141-149.
    Merton, R. C. (1973), "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4, Spring, 141-183.
    Merton, R. (1990), Continuous Time Finance. Oxford, Oxford University Press, New York.
    Palmer, K. (2001), "A Note on the Boyle-Vorst Discrete Time Option Pricing Model with Transactions Costs." Mathematical Finance 11(3), 357-363.
    Papahristodoulou, C. (2003), "Option Strategies with Linear Programming." European Journal of Operational Research 157, 246-256.
    Pelsser, A. and T. Vorst (1995), "Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints." Advances in Quantitative Analysis of Finance and Accounting 3A, 205-220.
    Rendleman, R. J. (1995), "An LP Approach to Option Portfolio Selection." Advances in Futures and Options Research 8, 31-52.
    Rubinstein, M. (1994), "Implied Binomial Trees." Journal of Finance 49(3), 771-818.
    Rubinstein, M. and J. Jackwerth (1996), "Recovering Probability Distributions from Option Prices." The Journal of Finance 51(5),1611-1631.
    Sass, J. (2005), "Portfolio Optimization under Transaction Costs in the CRR Model." Mathematical Methods of Operations Research 61, 239-259.
    Stettner, L. (2000), "Option Pricing in Discrete Time Incomplete Market Models." Mathematical Finance 10(2), 305-321.
    陳松男 (2003),在間斷性避險及交易成本下的選擇權評價模型:以實務觀點修正理論,風險管理學報 第一卷第二期,43-54。
    楊靜宜 (2004),選擇權交易策略的整數線性規劃模型,政治大學應用數學系碩士論文。
    描述: 碩士
    國立政治大學
    應用數學研究所
    94751017
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094751017
    数据类型: thesis
    显示于类别:[應用數學系] 學位論文

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