国际棉花期权与期货套保模型选择

International Cotton Options and Futures Hedging Model Selection

为改变期权领域德尔塔套保的单一模式,本文将二元GARCH模型和Copula-GARCH模型引入国际棉花期权与期货的套保。研究发现:二元GARCH(或Copula-GARCH)模型在最大均值方差比原则下效果不好,但在最小VaR原则下,无论是从方差角度还是均值、夏普比角度看都有效,因此,二元GARCH(或Copula-GARCH)-最小VaR模型可以作为德尔塔套保之外的一种可行方法。相比较套保比、均值和夏普比方面,德尔塔更具优势,方差方面Copula-GARCH更有优势,二元GARCH介于二者之间。因此,在运用国际棉花期权进行套保时,可以在风险较大时采用Copula-GARCH-最小VaR套保模型,风险适中时选择二元GARCH-最小VaR模型,风险小时采用德尔塔套保模型,灵活应对,力求在规避风险的同时谋求收益最大化。同时,在套保比动态调整中要重点关注期权的虚实变化和换月时点。

In order to change the single delta hedging method in the option field, the Bi-GARCH model and the Copula-GARCH model are introduced in international cotton options and futures hedging. It is found that the effect of neither the Bi-GARCH nor the Copula-GARCH model is good under the principle of the maximum mean variance ratio, but under the principle of the minimum VaR, whether it is from the angle of variance or mean, shaw ratio perspective is effective. Therefore, the Bi-GARCH （or the Copula-GARCH）-minimum VaR model can be a feasible method besides Delta hedging. By comparison, Delta has more advantages in the hedging ratio, mean and Sharpe ratio, Copula-GARCH has more advantages in the variance, while Bi-GARCH lies in between. Therefore, with the international cotton options on hedging, the Copula-GARCH-minimum VaR hedging model can be applied when the risk is larger, Bivariate GARCH hedging model can be applied when the risk is moderate, and the Delta hedging model can be applied when the risk is smaller, so as to seek maximize returns in risk aversion. At the same time, great importance should be attached to the option change in or out of the money and the change-point in the dynamic adjustment of hedging ratio.