我国期货市场期权式交易策略研究

发布时间：2018-01-16 16:14

本文关键词：我国期货市场期权式交易策略研究　出处：《北方工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：期货市场的基本职能是对冲现货市场风险,Trollei2008)[1]指出,商品市场风险分为可以由期货对冲的风险和不可以由期货而只能由期权来对冲的风险。我国四个期货交易所在期权的上市制备工作中都有了显著进展,期权仿真交易如火如荼进行中。考虑夏普比与最大回撤等策略评价指标,在资产管理业务上需要一种风险有限、收益无限的产品。综合以上三点,在我国期货交易所尚未开展期权交易的现在,本文将对期权式交易策略进行研究,选题具有一定的前瞻性,以及重要的理论和现实意义。期权是一种金融衍生工具,给予持有者在未来特定时间以特定价格购买或出售标的资产的权利。期权与期货的一个根本差异在于,期货的买方必须履行合约,而期权的买方则可以选择履行或不履行合约。所以本文考虑在期货市场上使用期权式交易策略。所谓期权式交易策略,即是类期权末期支付,或使用了期权思想,具有期权特性的策略,以期达到风险有限、收益无限的目的。对于未来我国金融市场重要性可想而知。本文重点研究了三种期权式交易策略,并将其用于期货市场。分别为经典的组合保险式交易策略、期权复制策略及以期权有关变量作为阈值的策略。传统的组合保险式交易策略具有类似期权的支付,是用投资组合保险思想构造末期收益类期权产品,实证结果表明投资组合保险策略应用于期货市场时,比其应用于证券市场更具有局限性。期权复制策略是使用期货和无风险资产构造的动态策略,本文通过复制出期权的Delta,得到了类期权末期收益的组合策略,并进一步使用期权复制策略,分别对模拟资产和我国期货市场收盘价数据进行模拟实证分析。以期权有关变量作为阈值的交易策略的理论基础是,成熟市场中期货与期权具有高度相关性。所以使用期权定价公式中计算出的期权理论价值、行权似然率等参数,构造出了一套新的期权式期货交易策略。本文的主要创新点在于,设计并构造了两种期权式交易策略,分别为基于期权价值策略和基于期权行权似然率策略。通过实证分析文中介绍的三种期货投资策略,得到以下三点结论:应用于我国期货市场时,复制期权策略明显优于投资组合保险策略；发行以股票、期货为标的的欧式期权,采用Delta对冲策略进行风险对冲是有效的；期权与期货具有高度相关性,所以使用期权的价值及行权概率指导期货投资,是确实可行的。
[Abstract]:The basic function of futures market is to hedge against spot market risk. [1 / noted. The risk of commodity market can be divided into the risk which can be hedged by futures and the risk that can not be hedged by futures but can only be hedged by options. The four futures exchanges in China have made remarkable progress in the preparation of options. Option simulation trading is in full swing. Considering Sharp ratio and maximum retreat, we need a product with limited risk and unlimited income in asset management business. Now that the futures exchange in our country has not carried out option trading, this paper will study the option trading strategy, which has a certain forward-looking, and important theoretical and practical significance. Options are financial derivatives that give the holder the right to buy or sell the underlying asset at a specific price in the future. A fundamental difference between options and futures is that the buyer of futures must perform the contract. The buyer of the option can choose to perform or not to perform the contract. Therefore, this paper considers the use of option-type trading strategy in the futures market. The so-called option-type trading strategy is the end-stage payment of similar options. Or it uses the option thought, has the option characteristic strategy, in order to achieve the goal that the risk is limited, the income is infinite, for the future our country financial market importance can be imagined. This paper focuses on three options trading strategies and applies them to the futures market. They are classic combination insurance trading strategies. The traditional combination insurance trading strategy is similar to the payment of options, and it uses the idea of portfolio insurance to construct the end-stage income option products. The empirical results show that portfolio insurance strategy is more limited when applied to futures market than in securities market. Option replication strategy is a dynamic strategy using futures and risk-free assets. In this paper, by copying the Delta-based options, we get the combination strategy of the end income of the similar options, and further use the option replication strategy. The empirical analysis of the simulated assets and the closing price data of China's futures market is carried out respectively. The theoretical basis of the trading strategy based on the option variables as the threshold is. Since futures and options are highly correlated in mature markets, a new set of option-based futures trading strategies is constructed by using the parameters such as the theoretical value of options and the likelihood rate of exercise, which are calculated in the option pricing formula. The main innovation of this paper is to design and construct two options trading strategies. Through the empirical analysis of the three kinds of futures investment strategies, we get the following three conclusions: they are applied in China's futures market. The replication option strategy is obviously superior to the portfolio insurance strategy. It is effective to use Delta hedging strategy to issue European options with stock and futures as the target. Option is highly correlated with futures, so it is feasible to use option value and exercise probability to guide futures investment.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F224

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