賣很價外的勒式策略 - 期貨
By Anthony
at 2011-10-07T09:27
at 2011-10-07T09:27
Table of Contents
賣出選擇權爆倉掛掉的基金,大戶,高手....還真不少呦
前一陣子在版上貼的統一證券前總裁杜總輝爆發台灣期貨史上最大違約案
就是賣出勒式
還有,1995年霸菱銀行交易員李森,違法用銀行的錢大筆壓注
日經指數的賣出勒式
結果發生阪神大地震,還有之後日本經濟泡沫化
把整家銀行賠掉
1998年,以諾貝爾經濟獎得主,選擇權定價公式發明者
休斯和莫頓當合夥人,裡面匯集了一大堆博士專家的
長期資本管理公司LTCM
認為經過他們精密數學模型決不可能爆掉的賣出選擇權模型
在俄羅斯爆發金融危機後一樣掛掉
雖然休斯和莫頓被認為並無參與投資決策
但是,選擇權定價公式的發明人掛名的基金竟然在選擇權上玩掛
LTCM從此就被拿來當作嘲笑學者專家博士的知名案例
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期貨
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