The Combination of Synthetic Put Option and Technical Indexes

• Main Authors: Jao,Yung-Hua, 饒永華
• Other Authors: Han,Chien-Shan
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/84358763827269122774

碩士 === 輔仁大學 === 金融研究所 === 98 === The purpose of this thesis is to develop the new technical Indexes to enhance the investment performance of Synthetic Put Options (SPO) strategy. The method of SPO used the Delta value of Black & Scholes option formula to distribute to the risk and riskless assets. When the trend of the stock market is moving upward, the Delta value will be rising. Conversely, when the trend is moving downward, the value will be decline. Therefore, we need to decrease the risk assets to protect loss on lower part. However, SPO is only the operation rule, it does not make any judgment about the future movement of the stock market. Therefore, the major purpose of this thesis is to use the technical index which is called M indicators of Wu ,May-Yao in 2006 to develop SPO for enhancing the performance of the portfolio insurance. In 2008, Weng , Chien-Ming who is the first person to use M indicators found that adding M indicators could improve SPO strategy. The performance of the foregoing is surely better than the conventional delta neutral replication method. The M indicators were designed from two lines of short-dated and long-dated moving-average stock prices. Moreover, this thesis developed new indicators, W indicators, from above short-dated and long-dated moving-weighting-average stock prices. Their differences were that the W indicators focus on the influence of recent stock price to average line to make the indicator more sensibility. This thesis used the data, weighting average index of stock price of Taiwan Stock Exchange Corporation, of TWSE from 1997 to 2010 for study targets. By using the adjustment of dynamic hedge indicators of M indicators and W indicators, the thesis compared their performance with conventional SPO. At the same time, the thesis was also considered operation cost to reflect real average return and performance. Besides, the thesis set up the loss limits and tested the average returns and performance of the different loss limits. The study results indicated that the average returns of Taiwan stock market, SPO, MSPO and WSPO were -1.21%, -0.90%, 4.58% and 5.13% repectively. Therefore, the returns of WSPO strategy are higher but less stable than those of MSPO strategy. Also, both MSPO and WSPO strategies generated substantially higher returns than SPO strategy and stock market average. Conclusively, the WSPO strategy of this thesis may provide an effective operation model for references.