存在交易成本的权证避险策略实证研究

An empirical study on existing transaction cost in Discrete Option Hedging Strategies

权证发行人在存在交易成本时对冲风险，若按照B—S理论进行动态连续避险操作，将造成巨大的交易成本，致使B-S动态连续避险不可行。因此存在交易成本时，对避险的操作都采用间断性避险。本文在统一均值方差框架下，系统全面的比较了存在交易成本的五种避险策略。在比例交易成本情形下，Whalley—Wilmott避险策略优于其他所有策略，当避险误差的标准差相同时该策略的交易成本最小；其次分别是delta固定避险带避险策略，基于标的资产价格变化的避险策略，Leland避险模型和间断的B—S避险策略。随着波动率σ上升，无风险利率γ下降，基于变动的避险策略相对于基于时间的策略优势更大。

Assuming transaction costs, the closer continuous rebalancing of the hedge portfolio is approximated, the more expensive it becomes to maintain the hedge, so discrete option hedging is often used in practice, this paper provide a systematic comparison of five popular methods for option hedging in the presence of transaction costs within a unified mean-variance framework. In the presence of proportional transaction costs, the Whalley ＆Wilmott optimal approach clearly dominates other types of strategies, including discrete B-S hedging strategy, Leland hedging strategy, asset tolerance strategy and hedging to a fixed bandwidth around Delta strategy.