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# 選擇權的交易原理

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_________

### z

Take a position in the option and the underlying(___________)

### z

Take a position in 2 or more

options of the same type (A spread _________)

### z

Combination: Take a position in a mixture of calls & puts (A

combination _________)

(7)

### z

_______________________

Î ____, _____

Î買入現貨, 擔心現貨價格持續下跌被套牢 , 故買入賣權避險

Îput-call parity,

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### z

____________________

Î ____, _____

Î持有標的現貨部位, 但是擔心現貨價 格短期不漲, 故賣出買權獲利

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### z

____________ (Reverse protective put ) Î ____, ____

Î放空現貨部位, 但是擔心現貨價格短期不 跌, 故賣出賣權獲利

### z

____________(Reverse covered call) Î ____, ____

Î賣出現貨被套牢, 擔心現貨價格持續上漲, 故買入買權避險

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1. ____, _____

2. ____, _____

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### z

_______—相同執行價格, 不同到期日

### z

_______—不同執行價格, 相同到期日 1. _______: call, put

2. _______: call, put 3. _______

4. _______

### z

_______—不同執行價格, 不同到期日

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c

> c

### 2

Æ____________________________

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Profit

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z

z

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### z

____一個執行價格低的put, ____一個執行價 格較高的put (相同標的物, 相同到期日, 不 同執行價格)

p

< p

### 2

Æ __________________________

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Profit

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### z

____一個執行價格低的call, ____一個執行 價格較高的call (相同標的物, 相同到期日, 不同執行價格), 為買權多頭價差交易之相對 人

c

> c

### 2

______________________

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Profit

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### z

____一個執行價格低的put,___一個執行價 格較高的put (相同標的物, 相同到期日, 不 同執行價格), 為賣權多頭價差交易之相對人

p

< p

### 2

_________________________

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Profit

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### z

A combination of a bull call spread and a bear put spread

### z

If all options are European a box spread is worth the present value of the difference between the strike prices

### z

If they are American this is not necessarily so (see Business Snapshot 10.1)

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### z

__________________，故性質上屬於混合部位

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__________

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### z

= 英鎊期貨買權多頭價差 + 英鎊期貨買權空頭價

T: 3月 3月 3月 K: 92 94 96

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### z

=英鎊期貨買權空頭價差 + 英鎊期貨買權多 頭價差

T: 3月 3月 3月 X: 92 94 96

－1 +2 －1

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1

T

3

2

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Profit

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1

T

3

2

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Profit

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## 兀鷹價差 兀鷹價差

### z

____________所組成，且每一組價差策略且每一組價差策略 的履約價格

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### z

T: 3月 3月 3月 3月 X: 92 94 96 98

+1 －1 －1 +1

T: 3月 3月 3月 3月

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### z

例如: 賣出 2006/03 6500 call 買進 2006/04 6500 call

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Profit

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Profit

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____________

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2. __________

### ¾

Long strangle（買入勒式 ）：__________ , _______________________

Kcall > Kput

### ¾

Short strangle（賣出勒式 ）： __________ , _______________________

Kcall > Kput

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Profit

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Profit

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### z

_______________________

### z

________________________________

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### z

_________________________

### z

________________________________

(46)

Profit

Profit

### KST

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Biases in Pricing Continuously Monitored Options with Monte Carlo (continued).. • If all of the sampled prices are below the barrier, this sample path pays max(S(t n ) −

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