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指数期权的套期保值策略模拟分析 被引量:2

The Simulating Analysis on the Different Hedging Strategies of the Index Option
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摘要 作为一种重要的金融衍生工具 ,指数期权具有套期保值、分散风险、提高金融市场效率的功能。本文运用Delta套期保值、Delta-Gamma套期保值等不同的指数期权投资策略 ,对中国股市进行模拟实证分析。结论表明 ,通过指数期权的套期保值策略 ,可以有效地降低投资组合的系统风险 ,并具有付出代价较小的优点。
作者 郑浩
出处 《广西财政高等专科学校学报》 2003年第3期43-50,共8页 Journal of Guangxi Financial College
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参考文献10

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同被引文献20

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