逐日盯市风险下的成堆套期保值模型

Multiperiod Stack-and-roll Hedging Model with Mark-to-market Risk

逐日盯市风险的存在可能会引发套期保值的期货合约被平仓,从而大大降低套期保值的有效性。针对这个问题,本文提出了逐日盯市风险下的成堆套期保值模型。在此基础上,通过引入辅助模型和模型的等价转换,将该模型转化成可分的模型;最后,采用动态规划方法,给出了该模型的解析解。

Mark-to-market risk may lead to the outcome that the position taken by the hedger will be closed out by the exchange. It results in a worse performance. To solve the problem,this paper proposes a multiperiod stack-androll hedging model with mark-to-market risk. Based on these,it introduces an auxiliary model and adopts the equivalent transformation technique. Finally,it gives the analytic expressions.