Application Study On Creating The Trade Strategies For Options UsingExpected Terminal Return And Mathematical Advantage AnalyticalModels ─ Evidences From Combination Strategy

• Main Authors: LAI,YU-PEI, 賴玉佩
• Other Authors: Huang,Ming-Guan
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/zsmg8d

碩士 === 實踐大學 === 財務金融學系碩士班 === 106 === In recent years, financial mathematics and financial quantitative measurements have been widely developed and applied, which are particularly applicable to such complicated financial products as options, along with growing on program transaction and modular investment conception. The most probable results may be obtained in advance by means of quantitative methods. Then, these results can be used to screen the best profit potential of trading strategy. The effectiveness of the mathematical quantitative method is not to earn each time but seek a long-term stable gain. Based to this idea, this study firstly deduces the expected terminal return model and mathematical advantage model for option’ short straddle and strangle strategies by making use of the concept and method of probability and mathematical expectation. Secondly, these two models are taken as the screening criteria, which create the optimal short combination strategy with a potential maximum profitability. Finally, this study takes short-term weekly Taiwan weighted stock index options (TXO) as example to carry out a long-term large-scale empirical study. The empirical study covers the period from January 2013 to October 2017, and performs in total 249 empirical studies. At the same time, in each test period, this study selects one at-the-money option, three nearest in-the-money options and three out-the-money options, and thus makes up a total of 7 short straddle strategies and 21 short strangle strategies. The large-scale empirical study is conducted for the purpose of verifying the accuracy, practicability and profitability of quantitative modes developed in this study. The empirical results show that the two quantitative models developed and proposed here do have excellent predictive and screening ability for the actual terminal returns. Moreover, the predictive ability of the expected terminal return model is superior to the mathematical advantage model. Additionally, window 30-day volatility is slightly more accurate than window 91-day volatility and window 182-day volatility. In the meantime, the investment performance obtained by using the best strategy derived from the two quantitative models is obviously better than the fixed exercise price strategy. Also, both models have a certain degree of identification ability between positive returns and negative returns. The optimal expected terminal return strategy can acquire on average a considerable investment return rate. Therefore, this study is confident that the research works and empirical findings in this study should be able to provide a reference value to the academic and practical sectors.