本文應用Rubinstein & Leland (1981) 的研究，進行各種選擇權部位的複製。有鑑於台灣股市巨幅的波動性，整合在多頭、空頭下獲利能力較佳的strap 策略與strip 策略，佐以濾嘴調整法則，提出strap 與strip 混合策略，並與straddle 策略、複製性賣權策略、買入持有策略進行績效評估。另外，由於股價波動性的估計在選擇權複製策略中扮演關鍵性的角色，本文捨棄傳統的歷史資料法，以移動平均法(moving average) 及GARCH 模型估計之。本研究的結論有三: (1)混合策略與straddle 策略的績效顯著優於複製性賣權策略與買入持有策略，但是兩者期末報酬的分配具有相當高的波動性，顯示這兩種策略都屬高風險高報酬的投機性策略。(2) 在多頭時期，混合策略與straddle策略因為沒有自我融資的限制，因此績效顯著優於其他策略。在盤整時期，混合策略與straddle 策略的期末資產均明顯低於買入持有策略。在空頭時期，複製性賣權策略的確能發揮保險功能，而混合策略與straddle 策略更能獲得正值報酬率。(3) GARCH 模型的績效表現略優於移動平均法，但均未達統計上的顯著性。

This paper applies Rubinstein and Leleand's (1981) method to replicate a variety of option positions. Due to the characteristics of large volatility of the Taiwan Stock Market, we integrate strap and strip strategies to develop a mixed strategy. The filter rule plays a "switch" function which controls the alternate application of strap and strip strategies in bull and bear markets, respectively. The performance of the mixed strategy is compared with those of straddle, synthetic puts, and buy-and-hold strategies. Furthennore, due to the importance of volatility estimates in replicating strategies, this paper uses moving average and GARCH models to estimate volatilities. The conclusions of this paper are as follows: (I) The performance of the mixed strategy and straddle strategy are significantly superior to those of synthetic puts and buy-and-hold strategies, but the distributions of terminal values for mixed and straddle strategies are highly volatile, indicating that they are speculative strategies of high risk and high return. (2) In bull markets, the mixed and straddle strategies perform better than other strategies due to no limitation of self-financing. In correction markets, the performance of mixed and straddle strategies are significantly lower than that of buy-and-hold strategy. In bear markets, though synthetic put will provide insurance function, the mixed and straddle will provide positive return. (3) The performance of GARCH model for volatility is slightlysuperior to that of moving average model.

本研究應用Rubinstein & Leland (1981)的選擇權複製概念，針對選擇權投資策略中的組合部位進行複製。Strap是指同時買進兩個買權與一個賣權，Strip是指同時買進一個買權與兩個賣權，兩者的到期日和執行價格均相同。與單純的Straddle（買入一個買權與賣權）相較，Strap在多頭時的獲利較佳，Strip在空頭時的獲利較佳。本文的目的主要在於：（一）有鑑於台灣股市巨幅的波動性，本研究提出一種新的選擇權複製策略，利用strap與strip策略在多頭、空頭時優異的獲利能力，合成混和策略調整的指標。（二）過去的實證研究皆指出股價波動性的估計在選擇權複製性策略中扮演關鍵性角色（如鄭仲修(1996)、楊昌博(1994)等），但都沒有提出適當的解決方式。本研究採用移動平均法及GARCH模型來估計股價波動性，解決股價報酬率與時俱變及異質變異數的問題。（三）進行混和策略、複製性straddle策略、複製性賣權策略及買入持有策略的績效分析，試圖找出最適合我國證券市場的投資策略，作為基金經理人及投資大眾決策時的參考。