上证50ETF期权动态Delta对冲策略及其实证检验

The Dynamic Hedging Strategy of SSE 50ETF Options and Empirical Test

动态Delta对冲策略可以满足投资者的套期保值目的。利用上证50ETF期权及其标的资产上证50ETF基金,采用3种动态Delta对冲策略进行套期保值实证分析,分别是固定时点的Delta中性对冲策略、Delta区间对冲策略以及固定历史波动率变化区间Delta对冲策略,观察组合的累积收益率及相对累积收益率。比较3种投资策略的交易费用,由于交易费用的存在,使得组合很难完全对冲,但是3种策略的累积收益率都跑赢了无Delta中性对冲的上证50ETF基金收益,大幅度减少了投资机构的亏损,达到套期保值效果。

Dynamic Delta hedge strategy can used to hedging.In this paper,three dynamic Delta hedging strategies are creatively analyzed using the SSE 50ETF option and the underlying assets of the SSE 50 ETF,which are the Delta neutral hedging strategy,Delta interval hedging strategy and fixed historical volatility change interval Delta Hedge strategy,to observe the cumulative yield of the portfolio and the relative cumulative yield.Comparing the transaction costs of the three investment strategies,the combination rate is difficult to completely hedge due to the existence of transaction costs,but the cumulative yield of the three strategies is outperformed by the Delta neutral hedge of the 50ETF fund,and a significant reduction in investment Institutional losses.