隨著台灣認購權證市場逐漸擴大，權證發行券商的避險行為，也越來越受到重視，但過去券商因金融商品未臻完備，往往只能對賣出認購權證的資產，進行一階資產避險的動作，即僅僅只能達到Delta風險中立，而對於其他風險，如二階風險的Gamma風險及Vega風險，因需買賣同一標的物的認購權證來達到風險中立的目標，故執行上有相當大的困難，也因此，在實務上往往沒有辦法有效的規避Gamma風險及Vega風險，達到完全風險中立的目標。而為減少此類風險，券商往往也只能夠給予避險交易員一自行判斷的避險區間，由交易員的經驗來判斷是否進行超額與不足額避險，藉以降低Delta風險外其他風險的影響。但此法卻因為並無一明確的交易策略，且決策過程過於主觀，也因此讓券商暴露了更多的風險。本研究將嘗試利用現有的避險標的﹙即標的物股票﹚，進行降低Gamma風險及Vega風險的目標，並建立一系統化的模式，以降低人為主觀操作的錯誤。本研究利用具學習性之模糊專家系統，作為本研究的發展核心，除了和過去實務上常用的日間斷避險法與吳秉寰﹙1999﹚所建議的4%避險帶避險法作一比較外，並將對本研究的系統參數加以探討，實証結果發現，在本研究的研究樣本與所選擇的參數之中，模糊專家系統避險法確實較前述兩種避險法為佳，同時，建議在資料庫參數的選擇上選擇database=10將會有最佳的績效。

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中文部分
陳威光﹙2002﹚，選擇權理論、實務與應用，台北市，智勝文化。
吳秉寰﹙1999﹚，「認購權證最適避險策略之研究」，國立政治大學碩士論文。
周恆志、涂登才、盧陽正﹙2001﹚ 「台灣股票認購權證避險之實證研究──最適VaR 避險法與間斷性Delta 避險法」，風險管理學報 , 第三卷 , pp.85-104。
陳松男﹙1999﹚ 「在間斷性避險及交易成本下的選擇權評價模型：以實務觀點修正理論」，風險管理學報 , 第一卷 , pp.43-54。

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