多阶段展期套期保值策略研究

Research into renewal and hedging strategy

借助保值者头寸的价值变化量,定义展期基差与多阶段展期套期保值基差,并通过展期基差的结构分析,将多阶段展期套期保值基差分解为一系列基本基差的形式,在此基础上讨论了最佳套期保值时机的选择问题。

This paper uses value change of credit of hedging to. define renewal basis and multiple periodic renewal hedging basic difference, uses structural analysis of renewal basis to resolve multiple periodic renewal hedging basic difference into a series of basic basis and, on this basis, discusses opportunity selection of optimum hedging.