Delta-neutral Dynamic Hedging Of The HS300 Stock Indez Futures And Option Portfolio--The Evidence From Simulation
Evidence provided by traders in derivative-asset market suggests that use of delta-neutral hedging strategy is a common and effective approach in achieving desired hedged investment goals. The principal objective of this research is to develop a model that can supply the effective hedge for HS300 index futures in a perfect market. The results of this analysis show that a protective delta-neutral strategy produces a more effective hedge on a riskreturn trade-off than the other hedging examined,daily adjusting is optimal. So it suggests the developing strategy for the stock index derivatives markets in China is needed urgently.
stock indez futures stock indez option delta-neutral dynamic hedging
Jie Wei Liyan Han
School of Economics and Management Bei Hang University (BUAA) Beijing,China
国际会议
北京
英文
1710-1713
2009-10-21（万方平台首次上网日期，不代表论文的发表时间）