期货平价理论的股指期权套利研究.pdf 全文免费在线阅读

  本文关键词：基于期权—期货平价理论的股指期权套利研究，，由笔耕文化传播整理发布。

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青岛大学硕士学位论文基于期权—期货平价理论的股指期权套利研究姓名:田志朋申请学位级别:硕士专业:西方经济学指导教师:唐衍伟20090613摘要股指期货与期权是金融创新过程中出现的最重要的金融衍生工具之一。它们都是以股票市场价格指数作为交易标的资产的标准化合约,能够增加市场运作的灵活性,满足投资者规避市场系统风险的需要,可以改善投资者结构,推动机构投资者的发展和创新,具有套期保值、规避风险、资产配置、套利交易等重要功能。股指期货和期权交易可以健全我国股票市场的各种功能,拓展市场深度和广度,增加我国证券市场的国际竞争力。持有成本模型表明期货价格取决于期货合约标的物商品现货价格,以及持有该现货商品至期货合约交割日之间的持有成本。按照看涨期权一看跌期权平价理论,对同一标的资产、同一履约价格、同一到期同的看涨期权与看跌期权来说,在某个时点的相对价格应该等于当时的股价减去履约价格,否则就会产生套利的机会。交易成本的存在使得股指期货与期权的理论价格上下浮动形成无套利区间。股指期货与期权的实际价格若在此区间内波动,则不会产生套利交易行为,只有当衍生交易工具的实际价格高于该区间的上限或者低于该区间的下限时,才能通过正向或者反向套利获得正的套利利润。本文利用台湾地区加权股价指数期货和期权的交易实证检验了股指期货与期权的套利机会和套利利润,并研究影响套利的主要因素,解释影响套利利润的因素及这些因素与套利利润的关系。实证结果表明随着交易成本的逐步加大,套利机会明显减少;提前平仓策略套利利润明显高于持有至到期策略;回归结果表明套利机会与特定的时问区间有关系,而套利利润与时间区间则无明显特定关系;套利空间的影响因素主要包括价差成本、波动程度、距离到期日天数和价内、价外程度。关键词:股指期货与期权;期权一期货平价关系;套利交易;交易策略;套利利润AbstractStocki11dexfuturesandoptionswerethemostimportantfinancialderivativesmtheproceSSoffinancialinnovation,whicharestandardizedcontractsbasedonani11dcXofstockprice.StockindexfuturesandoptionsCanhelptoincreasetheadaptabilityofthemarketoperation,andmeetinvestors’demandforevadingthem破etsystemrisk.TheyalsohelptoimproveandenlargethestructureoflnveSt町s,S0鹪topromotethedevelopmentandinnovationofinstitutionalinvestors·So如tures觚doptionsb嬲edonstockindexhavemanyimportantfunctions,suchashedge,avoidingrisk,andasse舡allocationandarbitrageandSOon.ForChina,theywillhelptoperfeCtt11estockmarketfunctionsandstrengthenthesecuritymarket’petition.AccordingtotheCostofCarryingPricingmodel,ountday.Put-callFuturesParityindicatesthattherelativepriceoftheputandcalloptionswithsameunderlyingasset,eXerclsepnceandmat研tvdateshouldequaltothedifferenceofthetemporalstockindexprice觚dexerciseprice.Otherwise,therewillbeallarbitrage,SOrisklessprofits,existingbetweenthoseoptions.Thetheoreticalpricesofstockindexfuturesandoptionswillshapeano.***itra皆eareawhentradingcostisinvolved.ThepracticalpricesofthosefinancialderivativesjEluctuateinthispricearea,andrisklessprofitswouldbeZerobecausetllerewillbenoarbitragechance.ButinvestorsCangetrisklessprofitsthroughCashandCarryArbitrageorReverseCashandCarryArbitragewhenpractlc毗pnceslocatingtheintervaloutoftheno-arbitragearea·ThispaperwillmakeempiricalanalysisontheTaiwan’smarketoftheweightedstoc:kindexfuturesandoptions,verifyingthearbitragechanceandprofitsbetween伽ose咖madkets.Thenwewillstudythemainfactorsaffectingthearbitragechance觚dtlledsklessprofits.Anexplanationoftherelationshipisalsogwenb咖eenthosefactorsandthearbitragechanceandprofits.Empiricalresultsindicatethattradingcostisoneofmainfactorsaffectedthear:bitra曾echance,thatis,thechancewilldecreaseobviouslywhentradingcostincreasingslowly.Profitsfromex.1iquidationstrategyismarkedhighel"thanthatfromholdingtomaturitystrategyRegressionresultstellthatspecificallytimeintervalsinatradingdayimpactthearbitragechance,butthereisnoevidencetoexplaintherelationshipbetweenthespecificallytimeintervalsandarbitrageprofits.Manyfactorscaninfluencearbitrageprofits,such私spreadcost,priceandmarketfluctu

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  本文关键词：基于期权—期货平价理论的股指期权套利研究，由笔耕文化传播整理发布。