A cash-secured put-write (PUTW) strategy involves writing an at-the-money put option and
setting aside enough cash to buy the underlying. Empirically, the PUTW returns outperform …

We analyze the impact of funding costs and margin requirements on index options traded on
the CBOE. Assuming differential borrowing and lending rates, we derive no-arbitrage …

We analyze the impact of funding costs and margin requirements on index options traded on
the CBOE. Assuming differential borrowing and lending rates, we derive no-arbitrage …

The Value at Risk (VaR) of selling the option on crude oil WTI has not widely known,
whereas this trade is the most significant transactions in the world. This study aimed to …

Nescinece of the winning probability of selling option on crude oil West Texas Intermediate
(WTI) may be one cause of lack of research on selling options whereas option on WTI …

This dissertation consists of three essays that address recent topics in financial markets that
concern for scholars, policymakers, and investors. The first essay examines the benefits of …

Standard financial market models are based on the simplifying assumption that trading can
be performed without frictions (ie zero transaction costs and no institutional restrictions on …

摘要(中) 本文利用探討賣出價平Delta-neutral 跨式交易策略在台指選擇權上的報酬與風險,
用以探討距離到期日一個月內台指選擇權之隱含波動率是否總是高於實際波動度 …