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An Empirical Study on the trade strategy of TAIEX Options-An Example of each expiration month contract first day closing price until to the due settlement

Abstract
TAIEX Options¡]TXO¡^has been listed and traded for four years , and sttlement account total 48 expiration month contracts , in order to verificate 24 kinds of trade strategies and 502 set of combination trade positions , which can make profit good , the author select 7 Call and 7 Put strick price , which have high trade volumes of each expiration month contract first day closing price , to calculate each one¡¦s profit-loss¡FIn addition , verificate 19292 sets of¡urandom combination positions¡vtest to examine the one of best¡C
We can compare and assess to count the best operation trade strategy and position by three propositions , accoding to market situation , The result of verification , the¡usell strangles¡vand ¡usell strddles¡vwere good to others , and selling in-the-money at first and second series Put also has more profit , and the parts of¡urandom combination positions¡vin 48 months , which can reach as high as 41 months profit¡C

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0207106-173500
Date07 February 2006
CreatorsJou, Meng-Shuan
ContributorsJen-Jsung Huang, David S. Shyu, Henry Y. Lo
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0207106-173500
Rightsunrestricted, Copyright information available at source archive

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