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论文编号：	8704
作者编号：	2120142858
上传时间：	2016/12/7 14:49:53
中文题目：	上证50ETF期权交易策略分析——从投资收益角度
英文题目：	Analysis of the options trading strategy of Shanghai Stock Exchange 50ETF ——From the perspective of investment income
指导老师：	王永进
中文关键字：	期权；期权交易策略；上证50ETF；期权定价模型
英文关键字：	Option; Option trading strategy; Shanghai 50ETF; Option pricing model
中文摘要：	摘要 本文从投资收益角度研究了关于上证50ETF期权交易策略的一些问题，中国期权市场尚处于起步阶段，存在很多交易风险的同时，也存在很多的收益机会。本文研究的主要目的是通过探究期权交易相关策略理论在上证50ETF期权交易中的实操效果，促进投资者对期权以及期权策略的认识，同时也希望本文的研究结论能够为中国期权市场的发展提供一点政策建议和参考。 本文主要采用实证分析和规范分析相结合的方法，充分利用已有的上证50ETF期权交易数据来验证期权交易策略理论的有效性问题，同时基于这些实证结论，提出了自己的一些看法和思考。本文也采用对比分析方法和文献阅读法，笔者通过对一些文献的阅读，总结整理出了各种期权交易策略，进而对这些策略进行对比分析。此外，在实证过程中和对实证结论分析中，笔者采用了定性分析和定量分析相结合的研究思路，这使得本文的研究结论更具有说服力。通过本文的研究可知，笔者列举的几种交易策略在上证50ETF期权市场均能获取一定的收益，但这仅仅是笔者从单一方向进行分析结果，并且本文的研究并没有考虑到所有的影响因素，这是本文的不足之处。尽管如此，本文还是得出一些比较具有价值的结论，即在不考虑资金的成本时，期权交易策略在上证50ETF期权交易中大概率有正向的收益，前提则是投资者拥有较强的择时能力。 最后，本文的创新点主要体现在：本文的选题和本文的研究内容上。本文的选题是比较新颖的，专门研究期权交易策略在上证50ETF期权交易应用方面的文献是比较少的，同时在研究内容上，本文采用理论和实例相结合的探究方式，特别是提及了期权交易策略在未来期权新品种的应用以及期权交易风险问题，这是本文做出的一点点创新。 关键词：期权；期权交易策略；上证50ETF；期权定价模型
英文摘要：	Abstract In this paper, we study some problems about the options trading strategy of 50ETF from the perspective of investment income, Chinese ETF option is still in the initial stage, so there are many risks, and there are also a lot of revenue opportunities. The main purpose of this paper is to explore the theory of the validity of option trading in Shanghai 50ETF in options trading, which can provide some help for the investors understand options and options strategies, but also hope that this study can provide some policy suggestions and reference for the development of Chinese options market. This paper mainly adopts the method of empirical analysis and normative analysis, makes full use of the existing ETF option transaction data to verify the effectiveness of options trading theory, and based on these empirical conclusions, the paper puts forward some opinions and thoughts .At the same time, this article uses the comparative analysis method and the literature reading method, through reading some literature , only then has summarized each option transaction strategy, then carries on the comparative analysis to these strategies. In addition, in the empirical process and the empirical analysis, the author uses research ideas of a combination of qualitative analysis and quantitative analysis, which makes the research conclusions of this paper more convincing. This research indicates that several trading strategies the author lists, which are able to obtain certain benefits in Shanghai 50ETF options market, but this is only the analysis of the results from a single direction, and the study of this paper does not take into account all the factors, which is the deficiency of this paper. Nevertheless, this paper draws some valuable conclusions: comparison, without considering the cost of capital, the options trading strategies have positive returns in Shanghai 50ETF options trading, but the premise is that investors have good timing ability. Finally, the innovation of this paper is mainly reflected in: the topic and the research content .This topic is relatively new, because the application of special study options trading strategy in Shanghai 50ETF options trading in the literature is relatively small, at the same time ,in the research content, this paper uses a combination of theory and examples of the research, especially mentioned the option trading strategy in the application of new varieties in the future this option and option trading risk, which is a little innovation made. Key words: Option; Option trading strategy; Shanghai 50ETF; Option pricing model
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