重庆理工大学学报（自然科学版）2017，Vol.31Issue(9)：182-187,6.DOI:10.3969/j.issn.1674-8425(z).2017.09.028
上证50ETF期权动态Delta对冲策略及其实证检验
The Dynamic Hedging Strategy of SSE 50ETF Options and Empirical Test
摘要
Abstract
Dynamic Delta hedge strategy can used to hedging.In this paper,three dynamic Delta hedging strategies are creatively analyzed using the SSE 50ETF option and the underlying assets of the SSE 50ETF,which are the Delta neutral hedging strategy,Delta interval hedging strategy and fixed historical volatility change interval Delta Hedge strategy,to observe the cumulative yield of the portfolio and the relative cumulative yield.Comparing the transaction costs of the three investment strategies,the combination rate is difficult to completely hedge due to the existence of transaction costs,but the cumulative yield of the three strategies is outperformed by the Delta neutral hedge of the 50ETF fund,and a significant reduction in investment Institutional losses.关键词
上证50ETF期权/动态Delta对冲/套期保值Key words
SSE 50ETF option/dynamic Delta hedging/hedge分类
数理科学引用本文复制引用
熊熊,刘勇..上证50ETF期权动态Delta对冲策略及其实证检验[J].重庆理工大学学报（自然科学版）,2017,31(9):182-187,6.基金项目
国家重点科学基金(71532009) （71532009）
