Calculating Method Comparison on Optimal Stock Indez Future Hedging

摘要：

When making a decision on stock index futures hedging, the success of hedging depends on the establishment of an appropriate index futures positions, that is, how to determine the optimal hedge ratio. There are a variety of calculation methods of optimal hedge ratio of stock index futures, mainly including single-factor model, a single factor-rate of stochastic volatility model, error correction model approach, error correction - rate of stochastic volatility model, EWMA index moving average model and so on. This essay analyzes merits between these calculation methods through positive comparative analysis.

关键词： Stock indez futures optimal hedge ratio comparative analysis

作者: Yuan Xiang

作者单位: Economics and Management School, Shanghai Maritime University, Shanghai, 200135

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-8

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）