Effocoemcu Ama;usos pf Jprozpmta; S[read P[erate om TAIEX Options Market
碩士 === 銘傳大學 === 經濟學研究所 === 91 === The best way to provide profit of investing is arbitrage operation. On the operation of arbitrage or approximate arbitrage, function of adapting option is the most and lowest cost choosing. This research uses horizontal seared operate on TAIEX Options Market to proc...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67787940095717492918 |
| Summary: | 碩士 === 銘傳大學 === 經濟學研究所 === 91 === The best way to provide profit of investing is arbitrage operation. On the operation of arbitrage or approximate arbitrage, function of adapting option is the most and lowest cost choosing. This research uses horizontal seared operate on TAIEX Options Market to process estimation, and make some conclusion as below:
1. The chance of success and profit rate of the approximate arbitrage is usually limited under the normal circumstance. Higher profit rate could only resulted by horizontal spread operate management on price. (This management is similar to arbitrage in this research.)
2. This management is designed by setting the maximum and minimum limitation toward the floating price.
3. The maximum and minimum limitation can be designed by theory or practical price. However, limitation designed by theory can’t meet the efficiency analysis of horizontal spread operate in TAIEX options market’s demand. Therefore, it is usually use the practical price to design the limitation
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