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    Title: 養殖漁業衍生性商品 : 以石斑魚交易選擇權評價模式為例
    Other Titles: A study of aquaculture derivatives : an example of grouper option pricing model
    Authors: 羅偉豪;Lo, Wei-Hao
    Contributors: 淡江大學國際企業學系碩士班
    蔡政言;蔡明芳;Tsai, Jeng-Yan;Tsai, Ming-Fang
    Keywords: 養殖漁業衍生性商品;石斑魚選擇權;波動率;Aquaculture Derivatives;Grouper Option;Volatility
    Date: 2011
    Issue Date: 2011-12-28 17:50:09 (UTC+8)
    Abstract: 因為人口不斷增加,土地資源減少及其他環境因素的改變下,耕作及畜牧業將無法持續滿足人口需求,人類對於食物的需求逐漸轉移到同樣富含蛋白質的魚類產品上。聯合國糧農組織指出,2030年時全世界每人每年的魚類產品消耗量將由現今的每人每年16.7公斤,上升到每人每年19~20公斤。此外養殖漁業以8%的年複合成長率快速增加,全球供人類食用的漁業產品中,高達45%由水產養殖所供應。說明了人類對於漁業資源的依存度將越來越高,以及養殖漁業的重要性。

    因此本研究嘗試以養殖漁業衍生性商品作為研究方向,並以台灣具有養殖技術優勢的養殖石斑魚做為設計選擇權商品的標的。採用漁業署漁產報價系統近兩年的歷史資料,模擬主要消費市場台北與台中的養殖石斑魚擇權價格。魚苗成本為養殖石斑魚成本中最重要的一環,病毒侵害與魚苗致死率高,與其他不確定風險因素影響,使得漁產價格波動劇烈,少數幾日交易日的交易量與交易價格變化異常導致波動率失真,投資人可能因資訊不對稱高估其波動率,買入價格過高的買權。此外,在第一季及第四季皆有交易天數不足的情況發生,考慮以上情形,長天期選擇權商品以修正後的波動率做模擬且契約期間為五月至九月的(雨季季節)的合約設計較為合適。
    Because of increasing population, the reduce of land resources and the change of other environmental factors, the farming and animal husbandry will be unable to continue to meet the needs of the population, the human needs for food gradually shifted to the same protein-rich fish products. FAO pointed out that in 2030 the world consumption of fish products per person per year will be 16.7 kg per person per year today, rising to 19 to 20 kg per person per year. Furthermore, the aquaculture industry compound annual growth rate increased rapidly by 8%, and the world''s fishery products for human consumption, up to 45% by the aquaculture supply. Shows the dependence of human resources for fisheries will be increasingly high, and the importance of fish farming.

    Therefore, this study attempts to Aquaculture derivatives as research direction, and grouper aquaculture which has advantages of cultivation technology in Taiwan as the subject of design options. Refer to Taiwan Fisheries Agency quotation system nearly two years of historical data to simulate the option price in Taipei and Taichung which are the major consumer markets in Taiwan Fisheries Agency quotation system. Grouper fry is the most important part in the cost of grouper aquaculture, viral violation, fry mortality rates over high, risk factors and other uncertainties, making the fish-price fluctuates fiercely, a few trading day trading volume and price abnormal volatility lead to History Volatility distortion, investors may overestimate the volatility and purchase the over high price of call option. In addition, in Q1 and Q4 both happen the trading days were not enough, considering the above situation, long-day period option choose the revised volatility to simulate, and the contract period from May to September (rainy season) is more appropriate.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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