本文選題：股指現(xiàn)貨　切入點(diǎn)：期貨和期權(quán)套期保值　出處：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：隨著金融市場(chǎng)的發(fā)展,金融衍生品得到迅猛的發(fā)展,股指期貨、股指期權(quán)等產(chǎn)品更是在衍生品中占據(jù)重要地位,已經(jīng)成為投資者手中的不可或缺的投資及風(fēng)險(xiǎn)對(duì)沖的工具。 針對(duì)股指現(xiàn)貨、股指期貨和股指期權(quán)的套保比率的研究,一方面能降低投資者的市場(chǎng)風(fēng)險(xiǎn),一方面也能穩(wěn)定投資者的收益,是近幾年來(lái)研究的熱點(diǎn)課題。本文選取股指現(xiàn)貨為申萬(wàn)菱信滬深300價(jià)值基準(zhǔn)，，股指期貨為滬深300股指期貨,由于國(guó)內(nèi)尚未開(kāi)放股指期權(quán),根據(jù)B-S公式模擬了基于滬深300指數(shù)的歐式看漲和看跌期權(quán)。 模型選擇方面,動(dòng)態(tài)套保模型主要采用了Delta-Gamma模型，靜態(tài)模型主要采用了VaR最小化模型,同時(shí)方差最小化模型從靜態(tài)套保擴(kuò)展到了動(dòng)態(tài)套保；模型構(gòu)建方面,分別就股指現(xiàn)貨、股指期貨和股指期權(quán)三種不同衍生品間進(jìn)行套期保值的研究。得出套期保值最優(yōu)頭寸后,利用HE、HBS和Lindal模型進(jìn)行了套保的效率評(píng)價(jià),得出了不同頭寸調(diào)整時(shí)間、不同套保資產(chǎn)、不同置信程度下各種套保模型的效率結(jié)論和各種套保模型之間的比較。 此外,本文主要選取的數(shù)據(jù)為股指現(xiàn)貨具有向下預(yù)期階段的階段,本文的結(jié)論為投資者在標(biāo)的資產(chǎn)價(jià)格下降時(shí),利用滬深300股指期貨和股指期權(quán)進(jìn)行套期保值提供很好的理論與實(shí)踐的指導(dǎo)。
[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.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F724.5;F224

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