双币种期权对冲的VaR风险管理

Managing Value at Risk by Hedging with Quanto Options

在固定汇率制度下,对使用双币种看跌期权对外国股票风险进行对冲的问题进行了研究,采用了最小化VaR风险控制获得了该问题的解,并从理论论证和数值计算两个角度说明利用最小化VaR可以对外国风险资产进行风险控制.

Minimal VaR risk management for stock has been studied in this paper by means of Quanto op-tion hedge under a fixed exchange rate system .The researches find that it can also control the assets risk and exchange rate risk the VaR risk management by means of Quanto options hedge for domestic investors .