| 现金结算价与股指期货套期保值决策 |
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| 引用本文： | 郑尊信,吴冲锋.现金结算价与股指期货套期保值决策[J].上海交通大学学报,2006,40(9):1592-1595. |
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| 作者姓名： | 郑尊信 吴冲锋 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052 |
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| 摘 要： | 股指期货采用的现金结算价计算方式因市场而异,套期保值决策也应该相应调整.基于现金指数价格服从几何布朗运动的假设,通过探讨平均现金结算价下的股指期货定价,分析了现金结算价确定所导致的期货价格偏离持有成本模型的期货价格过程,并在此基础上计算了最优的套期保值策略.
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| 关 键 词： | 股指期货 套期保值 现金结算价 最优套头率 |
| 文章编号： | 1006-2467（2006）09-1592-04 |
| 收稿时间： | 2005-09-29 |
| 修稿时间： | 2005年9月29日 |
Hedging Index Futures with Cash Settlement Price Setting |
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| ZHENG Zun-xin,WU Chong-feng.Hedging Index Futures with Cash Settlement Price Setting[J].Journal of Shanghai Jiaotong University,2006,40(9):1592-1595. |
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| Authors: | ZHENG Zun-xin WU Chong-feng |
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| Abstract: | The cash settlement of index futures is different among differrent countries,so is the decision of hedging.Based on the hypothese of Brown motion of cash index price,this article analyzed the process of futures price deviating from the cost-of-carry model caused by the cash settlement by exploring the index futures' pricing under cash settlement.And the optimal decision of hedging was computed based on the(futures) pricing. |
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| Keywords: | index futures hedging cash settlement optimal hedge ratio(OHR) |
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