Title page for etd-0629109-085849


[Back to Results | New Search]

URN etd-0629109-085849
Author I-LIN CHANG
Author's Email Address No Public.
Statistics This thesis had been viewed 5349 times. Download 2370 times.
Department Finance
Year 2008
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Volatility Alpha Fund
Date of Defense 2009-06-09
Page Count 64
Keyword
  • option
  • Volatility Alpha
  • Dynamic Hedging
  • Abstract We use dynamic hedging to replicate the short put positions of common stocks and thelong put positions of equity index. The strategy is developed based on the fact that the volatility of average constituent stocks is greater than that of the index, and the aggregate
    movement of the constituent stocks becomes the movement of the index. Therefore, we expect the long-short volatility strategy to deliver stable returns.
     In this study, we first employ Monte Carlo simulation methods to create paths for the underlying securities and the corresponding index. Then, we use Black-Scholes delta-neutral
    dynamic hedging strategy to create synthetic options for the long-short put positions.Specifically, we conduct the dynamic replication strategy to form long put option of TSEC Taiwan 50 equity index and short options of its constituent stocks.
     Finally, we pick the TSECTaiwan Mid-Cap 100 Index and replicate the long-short volatility strategy again. This time the target constituents screening criteria are high beta and high historical volatility.
     The empirical studies show that: (1) The correlation coefficients between stock pairs are reciprocally related to the standard deviations of strategy returns. (2) The main source of losses is performance deviation of the price of small-sized stocks and the index. (3) The return of the strategy for portfolios excluding small cap stocks will be improved. (4) The loss will decline if we apply short strip strategy on those stocks which prices perform worse than the index. (5) The higher the volatility of the stocks we select, the greater the dynamic hedging premium we can get. (6) If we pick the high beta stocks to avoid the trend of stock
    prices diverging from the index, then the strategy yields higher returns.
    Advisory Committee
  • Chin-Ming Chen - chair
  • Chin Hsing Hung - co-chair
  • Yih Jeng - advisor
  • Files
  • etd-0629109-085849.pdf
  • indicate accessible in a year
    Date of Submission 2009-06-29

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys