台灣與美國Delta避險策略績效之研究

Abstract

“避險策略”無論在企業財務規劃、或個人理財方面，都佔有相當重要的一環，如今已有許多避險方法被研究與實證。其中相當具代表性的部分，即為運用Greek Letters中的Delta來進行避險。Delta避險幫助基金經理人或交易員、財務工程師，分析各種標的物或投資組合結果與重要對應變數之間的關係。本論文應用Delta避險的概念，輔以S&P 500指數和TSEC台灣中型100指數，實際操作Delta避險、計算收益，進而推出最後結論與避險操作心得。 避險策略操作的資料：選用2009年第二季，美股方面選擇S&P 500指數，而 台股方面選擇台灣中型100指數，實際執行Delta避險後，發現台股與美股之間存 在一段不小的損益差距，台股部分主要虧損，而美股卻有盈餘產生。主要受到經 濟發展趨勢、手續費的差異程度與政治環境等等因素的影響，文中將詳細地分析 與比較。此外，”Black-Scholes-Merton formula”並不是一個相當完善的實務避險訂價公式，因市場上的無風險利率、投資組合變異數隨時在改變，而訂價過程也是每分每秒在進行。由此，在實務運用上，必須隨著標的物與市場環境，做適時地修正。

Hedging is a common and important strategy used in corporate finance or personal finance with many of its methods studied and proved effectively. One of the typical methods for hedging is Delta hedging in Greek Letters. It helps fund manager, brokers and financial engineers to analyze the relationship between important variables and the results of different portfolios. In this research, we apply the concept of Delta hedging, and compare the hedging results between S&P 500 index and TSEC Taiwan 100 index. The result shows that we have loss in hedging of Taiwan, but gain in the U.S.; this result is because of the immature investment market in Taiwan and the difference in political environment, transaction fees, and the cost of hedging strategies. But in reality, the risk-free rate and portfolio variation changes frequently and pricing of options also changes each and every second. So in practice, certain amendments should be made to adapt to the environment.