期货与期权的组合在套期保值策略中的应用

Hedging Strategy Involving Future and Option Simultaneously

讨论了同时使用期货与期权的套期保值策略 .每个投资者根据不同的需求对未来价格变化有不同的预期和不同的风险承受力 ,对此可用概率论和金融定价理论 ,根据目前的期货价格、各种不同敲定价的期权价格 ,以及投资人的风险承受力和对价格走势的估计 ,找出最优投资组合 .最优的标准是在一定的风险范围内使收益的数学期望达到最大 .

In this paper,the authorrs discuss a hedging strategy involving future and option simultaneously.Investors with dissimilar needs may have their own estimation to the future price movement and different power of endurance to the risk.We use the probability theory and financial pricing theory to find an optimal portfolio for investors on the basis of the future price,various option prices with different strike price,the enduring capacity of the risk and the investor's own estimation to the future price.The standard of the optimum portfolio is to make the mathematics expectation of the profit to be maximum in the scope of given risk level.