摘要
Abstract
In order to change the single delta hedging method in the option field,the Bi-GARCH model and the Copula-GARCH model are introduced in international cotton options and futures hedging.It is found that the effect of neither the Bi-GARCH nor the Copula-GARCH model is good under the principle of the maximum mean variance ratio,but under the principle of the minimum VaR,whether it is from the angle of variance or mean,sharp ratio perspective is effective.Therefore,the Bi-GARCH (or the Copula-GARCH)-minimum VaR model can be a feasible method besides Delta hedging.By comparison,Delta has more advantages in the hedging ratio,mean and Sharpe ratio,Copula-GARCH has more advantages in the variance,while Bi-GARCH lies in between.Therefore,with the international cotton options on hedging,the Copula-GARCH-minimum VaR hedging model can be applied when the risk is larger,Bivariate GARCH hedging model can be applied when the risk is moderate,and the Delta hedging model can be applied when the risk is smaller,so as to seek maximize returns in risk aversion.At the same time,great importance should be attached to the option change in or out of the money and the change-point in the dynamic adjustment of hedging ratio.关键词
国际棉花期权/套保原则/二元GARCH套保模型/Copula-GARCH套保模型/德尔塔套保模型Key words
international cotton option/hedging principle/Bi-GARCH hedging model/Copula-GARCH hedging model/Delta hedging model分类
管理科学
