股指现货、股指期货和股指期权的套期保值策略研究

发布时间：2018-03-31 06:05

本文选题：股指现货　切入点：期货和期权套期保值　出处：《复旦大学》2013年硕士论文

【摘要】：随着金融市场的发展,金融衍生品得到迅猛的发展,股指期货、股指期权等产品更是在衍生品中占据重要地位,已经成为投资者手中的不可或缺的投资及风险对冲的工具。针对股指现货、股指期货和股指期权的套保比率的研究,一方面能降低投资者的市场风险,一方面也能稳定投资者的收益,是近几年来研究的热点课题。本文选取股指现货为申万菱信沪深300价值基准，，股指期货为沪深300股指期货,由于国内尚未开放股指期权,根据B-S公式模拟了基于沪深300指数的欧式看涨和看跌期权。模型选择方面,动态套保模型主要采用了Delta-Gamma模型，静态模型主要采用了VaR最小化模型,同时方差最小化模型从静态套保扩展到了动态套保；模型构建方面,分别就股指现货、股指期货和股指期权三种不同衍生品间进行套期保值的研究。得出套期保值最优头寸后,利用HE、HBS和Lindal模型进行了套保的效率评价,得出了不同头寸调整时间、不同套保资产、不同置信程度下各种套保模型的效率结论和各种套保模型之间的比较。此外,本文主要选取的数据为股指现货具有向下预期阶段的阶段,本文的结论为投资者在标的资产价格下降时,利用沪深300股指期货和股指期权进行套期保值提供很好的理论与实践的指导。
[Abstract]:With the development of financial market, financial derivatives are developing rapidly. Stock index futures, stock index options and other products play an important role in derivatives, and have become an indispensable investment and risk hedging tools in the hands of investors. The research on the hedging ratio of stock index spot, stock index futures and stock index options can, on the one hand, reduce the market risk of investors and, on the other hand, stabilize the return of investors. It is a hot topic in recent years. In this paper, the stock index spot is chosen as the value benchmark of Shenwanling, Shanghai and Shenzhen 300, and the stock index futures is Shanghai and Shenzhen 300 stock index futures, because the stock index options have not been opened up in China. According to B-S formula, the European call and put options based on CSI 300 index are simulated. In the aspect of model selection, dynamic hedging model mainly adopts Delta-Gamma model, static model mainly adopts VaR minimization model, and variance minimization model extends from static hedging to dynamic hedging. This paper studies the hedging of stock index futures and stock index options between three different derivatives. After the optimal hedging position is obtained, the efficiency of hedging is evaluated by using HEHBS and Lindal model, and the different position adjustment time and different hedging assets are obtained. The efficiency conclusions of various hedging models with different confidence levels are compared with each other. In addition, the data selected in this paper are that the spot stock index has the stage of downward expectation. The conclusion of this paper is that when the price of the underlying asset falls, Using Shanghai and Shenzhen 300 stock index futures and stock index options to hedge provides good theoretical and practical guidance.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F724.5;F224

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