| 标的股票价格服从跳跃-扩散过程的期权套期保值率确定 |
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| 引用本文： | 张利兵,潘德惠. 标的股票价格服从跳跃-扩散过程的期权套期保值率确定[J]. 系统管理学报, 2005, 14(1): 23-27 |
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| 作者姓名： | 张利兵 潘德惠 |
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| 作者单位： | 东北大学,工商管理学院,沈阳,110004 |
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| 基金项目： | 辽宁省自然科学基金资助项目(002012) |
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| 摘 要： | 用期权进行套期保值是常用的风险转移方法。假设标的股票服从更新跳跃-扩散过程,研究在保值者给定可接受的保值失败概率情况下,如何确定合理的套期保值比率。给出了计算最优套期保值率所需参数的估计方法,并用算例予以验证。
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| 关 键 词： | 期权 套期保值 套期保值率 更新过程 跳跃-扩散过程 |
| 文章编号： | 1005-2542(2005)01-0023-05 |
| 修稿时间： | 2003-10-28 |
Determining of the Hedge Ratio for Option Trade When the Underlying Stock Price is a Renewal Jump-Diffusion Process |
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| ZHANG Li-bing,PAN De-hui. Determining of the Hedge Ratio for Option Trade When the Underlying Stock Price is a Renewal Jump-Diffusion Process[J]. Systems Engineering Theory·Methodology·Applications, 2005, 14(1): 23-27 |
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| Authors: | ZHANG Li-bing PAN De-hui |
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| Abstract: | Hedging with option trade is one of the most useful ways to distract risk. This paper assumes that the underlying price obeys a renewal jump-diffusion process, studies how to determine a sound hedge ratio when given an acceptable probability of hedge failing, and suggests the way to assume the parameter of calculating the optimal hedge ratio which is finally validated with an example. The result obtained can be useful for distracting risk with option hedge. |
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| Keywords: | option hedge hedge ratio renewal process jump-diffusion process |
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