Tucker（1992）等人期盼透過跨市場的操作，以尋求交易人在期貨與選擇權的有效資產配置，稱之為Put-Call Futures Parity；但是Tucker 的理論係一種靜態的分析，無法確切地描述交易人在交易日內的即時操作決策問題。本研究基於跨市場中期貨與選擇權具有相同標的物、相同到期日與結算價的特性，推演出比較動態式的跨市場避險及套利操作策略，以更即時的方式剖析市場的交易現象，並探究2004年3月份台指選擇權與台指期貨之避險與套利關係。研究發現買賣權與期貨之跨市場間確實存有避險與套利機會；然而，在考量交易成本後，可套利次數隨著交易成本增加而遞減；另因操作時間落後的因素，可能降低避險與套利的效果。

　　The past researchers, like Tucker (1992) , anticipated to find the pricing model of multiple assets allocation for futures and options. The theory is put-call futures parity. Tucker's model is a static theory that cannot support the investor's decision but also reflect the parity of call and put in time. Based on the characteristics that the futures and options have same settlement price at the settlement day in cross markets, this research creates an appropriate hedge and arbitration models. We also examined the put-call futures parity between futures and options contracts written on Taiwan Stock Exchange Weighted Index during the period of March 2004. From the empirical evidences, we find there are potential arbitrage opportunities, but the opportunity declines with the increasing on transaction costs. The effects of hedge and arbitrage also run down as the time lag of operation.