股指期货与股指期权套期保值组合的Delta中性动态模拟——基于沪深300股指期货仿真交易的分析

Delta-neutral Dynamic Hedging of the Stock Index Futures and Option Portfolio——Evidence from Shanghai-Shenzhen 300 Index Futures Simulation Data

沪深300股指期货的推出,在为市场提供套保工具和流动性的同时,也带来新的风险。本文运用同一指数的股指期权与股指期货组成多种动态套期保值组合,分析股指期货的风险对冲策略。结果表明所构造的组合都能为股指期货提供有效的套期保值;不论多头股指期货还是空头股指期货,保护性策略的风险控制能力更强。

The launch of Shanghai-Shenzhen 300 index futures can not only supply the hedging tools and liquidity, but also bring some new kind of risk. The principal of this research is to analyze the risk hedging policy of the index futures using various kinds of dynamic hedging portfolios of index futures and index options with the same underlying index. The results of this analysis show that each portfolio can supply effective hedging for stock index futures and a protective ＂delta-neutral＂ strategy produces a more effective hedge on a risk-return trade-off than the other hedging examined for both the short and long position of index futures.