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選擇權賣方有利可圖嗎：加價利益的颧點

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選擇權賣方有利可圖嗎：加價利益的颧點

https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_airiti_journals_10181601_200906_200906190025_200906190025_57_74

選擇權賣方有利可圖嗎：加價利益的颧點

About this item

Full title

選擇權賣方有利可圖嗎：加價利益的颧點

Author / Creator

傅瑞彬(Jui-Pin Fu) , 陳松男(Son-Nan Chen) and 吳庭斌(Ting-Pin Wu)

Publisher

國立臺灣大學管理學院

Journal title

臺大管理論叢, 2009-06, Vol.19 (2), p.57-74

Language

Chinese

Formats

Articles

Publication information

Publisher

國立臺灣大學管理學院

More information

Scope and Contents

Contents

本研究提出選擇權加價利益(Mark-Up Interest)的觀點，此加價利益是選擇權賣方為彌補採取避險組合後仍可能發生的損失而向選擇權買方收取的風險補償。本研究的方法是將選擇權市價拆解成理論公平賭局價格與加價利益，建立包含加價利益、買賣權平價理論、隱含標的價格與猜測波動度的選擇權評價模型，解決隱含波動度微笑(Implied volatility smile)所帶來模型內部不一致的問題。在建立各種情境條件下之加價利益後，可用來評估選擇權市價的合理性，以提升買賣雙方對市價的合理判斷，有利於風險管理者進行選擇權之造市操作與避險。本研究經由對台指選擇權(TXO)的實證結果發現：加價利益受到距到期交易日、價況程度(Moneyness)及猜測波動度的影響。

Alternative Titles

Full title

選擇權賣方有利可圖嗎：加價利益的颧點

Authors, Artists and Contributors

Author / Creator

Identifiers

Primary Identifiers

Record Identifier

TN_cdi_airiti_journals_10181601_200906_200906190025_200906190025_57_74

Permalink

https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_airiti_journals_10181601_200906_200906190025_200906190025_57_74

Other Identifiers

ISSN

1018-1601

DOI

10.6226/NTURM2009.19.2.57

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