| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 93 === Strategies of Spread Operation in Taiwan Index Options Market
Student: Yung-te Lin Professor : Dr.Chuang-yuang Lin
ABSTRACT
This research explores operation strategies using different plain vanilla options, including European call options, European put options, American call options, and American put options. There is also a comparison analysis between the characteristics and price-settings of plain vanilla options. Regarding the pricing formulas of the above-mentioned four options deduced by Black&Scholes, and Merton in 1973, only three of them have explicit solutions. There are no definite formulas for American put options for the time being. Different strategy approaches are presented in the research in order to obtain the best efficiency and risk premium.
Judging from the viewpoints of different operation strategies,the conclusions are summarized below as references:
Firstly,the linking between time and index will influence operation strategies,generating a correlation factor between good or bad results.
Secondly, closing out should not be implemented ahead of time expect that the trend of index variance can be predicted.
Thirdly, the operation time should not head toward a deadlock, it can be flexible. Setting upper and lower limit according to the real data does not adapt to the choice. The time value is going to drop rapidly near the end of term.
Fourthly,the key point to success is to accurately assess market quotation and to make the most of the best buy & sell timing to ensure profits.
Keywords:option，European call option，European put option，American call option，American put option，Risk premium
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