On the question of optimal hedge ratio, this paper firstly draws the chance to choose a market-entering point to the model. Using the replication principle of finance engineering, we make an assumed equity and get the...On the question of optimal hedge ratio, this paper firstly draws the chance to choose a market-entering point to the model. Using the replication principle of finance engineering, we make an assumed equity and get the optimal hedge ratio of the model, which gives the theoretical support to the practice. We should not only concern on the market-entering point, but also concern on the period of the hedge that still influences the effect of hedging. But only the period of hedging gives its affection if the time is relatively long.展开更多
文摘On the question of optimal hedge ratio, this paper firstly draws the chance to choose a market-entering point to the model. Using the replication principle of finance engineering, we make an assumed equity and get the optimal hedge ratio of the model, which gives the theoretical support to the practice. We should not only concern on the market-entering point, but also concern on the period of the hedge that still influences the effect of hedging. But only the period of hedging gives its affection if the time is relatively long.
