Management and Hedge of Binaries and Barrier Option

• Main Authors: Jun-Yuan Guo, 郭俊源
• Other Authors: Neng-Jen Shih
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/67607780288188894029

碩士 === 大葉大學 === 國際企業管理學系碩士在職專班 === 97 === At present, the futures market apply more options contracts traded, an increase in participants and futures and option contract trading volume increase to enlarge but also is the subject of investors. Derivatives innovative with each passing day, a lot of deriva-tives, such as equity linked products were applied to the concept of choice to show the right to choose more and more extensive use of the concept, how to use the hedging of the option contract, which has research value. In this study, the Futures Exchange E issued by the country's stock option contract is based on the use of binary option and barrier option combination into a option con-tract option, Use the CRR model and binomial tree to predict the future stock prices, and use the B-S model to computation the option value, with the trading strategy, and simulation of portfolio transactions in stocks beginning to compare the right to choose not to use hedging and the use of the right to choose after the hedge performance, in-vestment performance for the end of the assessment and recommendations, to verify the use of dual boundaries hedge the effect of options and the opportunity to provide deci-sion-makers to use the effectiveness of investment management.