在金融市場中，期貨是一種由買賣雙方事先約定標的商品數量、金額與交付日期的契約，而期指選擇權則是從期貨契約上再衍生出來的另一種投資工具，其主要的特性在於可彈性交易且可視為一種零和賽局；換句話說，投資人可自由選擇當買方或賣方，且一方的收益必然意味著另一方的損失，因此在進行資料分析時較可忽略市場景氣等環境因素。在評估選擇權之合理價格時，前人研究中常以Black-Scholes模型作為定價的重要參考依據，然而此一方法是很複雜的數學模型，須根據金融市場的現況假定一些輸入參數值後方能進行計算，因此其所估算之合理價可能會與市價偏離甚遠，且具有高度不確定性而無法驗證。在本研究中，我們試著由期指選擇權的大量歷史交易數據著手，先探討並發掘了兩項會主要影響選擇權市價之因素，亦即『價外程度』與『距結算日天數』，然而這兩項因素對於選擇權市價的影響是非線性的關係，因此我們接著建立了合適的多變數迴歸模型以進行定價，這種作法的主要優點在於其易用性。為衡量所提定價模型之效益，我們選定以台指期貨選擇權進行模擬交易，並直接利用獲利率來評估成效，藉由調整不同的『測試日期區間』、『可接受價外程度』及『可接受溢價門檻』時，我們進行了多面向的實驗；此外，我們也評估了在投資人擁有本金的多寡不同時，所帶來之限制與影響。根據對實驗結果的完整評估，我們可提出一簡易且有效之投資策略，並明確地舉出了實際投資時應考量之因素。

In finance, a futures is a contract between two parties to buy or sell a specified asset of standardized quantity for a price agreed upon today with payment and delivery occuring at a specified future date. In addition, a futures option is a derived and volatile trading tool that a trader can either be the buyer or seller. The trading of either futures or futures options can be modeled as a zero-sum game. In other words, the gain of one party necessarily implies the loss of the other party, i.e., gains and losses on both sides sum up to zero. For pricing a futures option, previous studies often use Black-Scholes pricing model as an important reference, however, this method is very complex mathematical models must be based on the current state of financial markets assume some input parameter values for calculations, so it may be estimated reasonably price and the market price deviates so far, and has a high degree of uncertainty can't be verified. In the present study, we tried by a large number of index options historical data to proceed, the two major factors that affect the market price of the option will explore and discover, which is "the level of out-of-the-money " and "the number of days from the settlement date." However, the two factors affect the option price is non-linear relationship, so we create the appropriate multivariate regression models for pricing, the main advantage lies in its ease of use. To measure the effectiveness of the proposed pricing model, we have chosen to simulate TXO, and the direct use to evaluate the effectiveness of the interest rate by adjusting the various "test date range", "acceptable the level of out-of-the money" and "acceptable premium threshold", we conducted a multi-faceted experiment; addition, we also evaluated the amount of the principal not the same, and arising from constraints and impacts. According to a complete evaluation of the experimental results, we can propose a simple and effective investment strategy, and clearly cited the factors to consider when actual investment.

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