價格限制市場下的選擇權避險策略

Abstract

此篇論文的主旨為在價格限制的市場下，利用價格限制公式做選擇權避險，以不同選取波動度的方式做為避險策略，探討其在模擬結果以及台灣選擇權實證結果，並將Black-Scholes公式的避險當做基準與其比較。研究結果顯示，在價格限制市場下，利用價格限制公式的避險策略會降低平均避險成本，並有更小的標準差。亦即，此避險策略會使避險成本較一般熟知的Black-Scholes避險更加穩定。

This paper implements the different method of choosing the volatility in the Price-Limit model and examines their effect on the performance of standard delta hedging of vanilla options on TSE and the simulations. One method is using the historical return data and the other is using the hitting-boundary frequency to find the implied volatility. Simple adjustments to the Black-Scholes model are used as benchmark. To hedge the options in different strike price and different rebalancing frequency then compare with the results.