瑞士法郎交易中期权及保值策略解

THE STRATEGIES OF OPTIONS AND HEDGES OF SFR

利用Ｂｌａｃｋ－Ｓｃｈｏｌｅｓ期权定价公式，讨论了瑞士法郎的期权保值及套期保值策略解．特别指出：（１）保值操作应遵循套期保值的风险小于期权保值的风险，期权保值的风险小于不保值的风险的规则；（２）套期保值并不总是必要的．

This paper uses the Black Scholes formula of option price to discuss the strategies of options and hedges of SFR. The following views are put forward: (1)the necessary rules are that the risk of hedges should be less than the risk of options, and the risk of options should be less than the risk of money; (2)the hedge is not always necessary.