Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs

碩士 === 實踐大學 === 財務金融學系碩士班 === 105 === This study creates the theoretical foundation of options’ combination strategy, which is frequently practiced by the traders of options, through using the concept of mathematical expectation. More specifically, this study uses the concept of "function o...

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Main Authors: Wu, Ming-Yuan, 吳明遠
Other Authors: Huang, Ming-Guan
Format: Others
Language:zh-TW
Published: 2017
Online Access:http://ndltd.ncl.edu.tw/handle/8p5ah7
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spelling ndltd-TW-105SCC003040042019-05-15T23:17:37Z http://ndltd.ncl.edu.tw/handle/8p5ah7 Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs 運用期望報酬法則建構選擇權最佳賣方組合交易策略之理論研究與實證分析-以臺指選擇權為例 Wu, Ming-Yuan 吳明遠 碩士 實踐大學 財務金融學系碩士班 105 This study creates the theoretical foundation of options’ combination strategy, which is frequently practiced by the traders of options, through using the concept of mathematical expectation. More specifically, this study uses the concept of "function of return" and "function of probability" to derive the expected return model. Then, the expected return model is used for establishing and screening the short Straddle strategy and the short Strangle strategy of options. Additionally, the samples of empirical study that is conducted to verify the precision of study model are the weekly contracts and monthly contracts for TXO. The duration of empirical study covers a total of 182 weekly TXOs and 162 monthly TXOs. In the design of study process, firstly, the expected terminal return of options' combination strategy for writers is estimated by the expected return model deduced in this study. Meantime, the short Straddle strategy includes weekly and monthly expired contracts, three window sizes for estimating volatility and five exercise prices, and thus creates a total of 30 strategies, while the short Strangle strategy also includes weekly and monthly contracts, three window sizes and 10 exercise price intervals, and thus creates a total of 60 strategies. The expected terminal returns obtained from various strategies are compared and analyzed with actual terminal returns to verify the accuracy and effectiveness of the expected terminal return model. Empirical results show that weekly options with 30-day volatility window and monthly option with 365-day volatility window appear to be most accurate when comparing to other volatility windows. Also, the error rate of short Strangle strategy is lower than that of the short Straddle strategy in terms of application precision of expected terminal model. Moreover, short Strangle strategy can identify the maximum actual terminal returns more times than short Straddle strategy. Furthermore, comparing with the combination strategy using fixed exercise price, traders can acquire more investment advantage when using the optimal expected return to select and build periodic investment strategy. In conclusion, according to the empirical results, this study is confident that the expected terminal return model is suitable for taking as the reference when making decisions of options’ combination strategy in the case of the long-term investment. Huang, Ming-Guan 黃明官 2017 學位論文 ; thesis 74 zh-TW
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language zh-TW
format Others
sources NDLTD
description 碩士 === 實踐大學 === 財務金融學系碩士班 === 105 === This study creates the theoretical foundation of options’ combination strategy, which is frequently practiced by the traders of options, through using the concept of mathematical expectation. More specifically, this study uses the concept of "function of return" and "function of probability" to derive the expected return model. Then, the expected return model is used for establishing and screening the short Straddle strategy and the short Strangle strategy of options. Additionally, the samples of empirical study that is conducted to verify the precision of study model are the weekly contracts and monthly contracts for TXO. The duration of empirical study covers a total of 182 weekly TXOs and 162 monthly TXOs. In the design of study process, firstly, the expected terminal return of options' combination strategy for writers is estimated by the expected return model deduced in this study. Meantime, the short Straddle strategy includes weekly and monthly expired contracts, three window sizes for estimating volatility and five exercise prices, and thus creates a total of 30 strategies, while the short Strangle strategy also includes weekly and monthly contracts, three window sizes and 10 exercise price intervals, and thus creates a total of 60 strategies. The expected terminal returns obtained from various strategies are compared and analyzed with actual terminal returns to verify the accuracy and effectiveness of the expected terminal return model. Empirical results show that weekly options with 30-day volatility window and monthly option with 365-day volatility window appear to be most accurate when comparing to other volatility windows. Also, the error rate of short Strangle strategy is lower than that of the short Straddle strategy in terms of application precision of expected terminal model. Moreover, short Strangle strategy can identify the maximum actual terminal returns more times than short Straddle strategy. Furthermore, comparing with the combination strategy using fixed exercise price, traders can acquire more investment advantage when using the optimal expected return to select and build periodic investment strategy. In conclusion, according to the empirical results, this study is confident that the expected terminal return model is suitable for taking as the reference when making decisions of options’ combination strategy in the case of the long-term investment.
author2 Huang, Ming-Guan
author_facet Huang, Ming-Guan
Wu, Ming-Yuan
吳明遠
author Wu, Ming-Yuan
吳明遠
spellingShingle Wu, Ming-Yuan
吳明遠
Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs
author_sort Wu, Ming-Yuan
title Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs
title_short Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs
title_full Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs
title_fullStr Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs
title_full_unstemmed Theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – Evidences from TXOs
title_sort theoretical study and empirical analysis on creating the optimal combination strategy for writting options by using expected returns rule – evidences from txos
publishDate 2017
url http://ndltd.ncl.edu.tw/handle/8p5ah7
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