本文關(guān)鍵詞：我國期貨市場期權(quán)式交易策略研究　出處：《北方工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 期貨市場 現(xiàn)貨期權(quán) Delta對沖 期貨期權(quán) 交易策略

【摘要】：期貨市場的基本職能是對沖現(xiàn)貨市場風(fēng)險(xiǎn),Trollei2008)[1]指出,商品市場風(fēng)險(xiǎn)分為可以由期貨對沖的風(fēng)險(xiǎn)和不可以由期貨而只能由期權(quán)來對沖的風(fēng)險(xiǎn)。我國四個期貨交易所在期權(quán)的上市制備工作中都有了顯著進(jìn)展,期權(quán)仿真交易如火如荼進(jìn)行中。考慮夏普比與最大回撤等策略評價(jià)指標(biāo),在資產(chǎn)管理業(yè)務(wù)上需要一種風(fēng)險(xiǎn)有限、收益無限的產(chǎn)品。綜合以上三點(diǎn),在我國期貨交易所尚未開展期權(quán)交易的現(xiàn)在,本文將對期權(quán)式交易策略進(jìn)行研究,選題具有一定的前瞻性,以及重要的理論和現(xiàn)實(shí)意義。 期權(quán)是一種金融衍生工具,給予持有者在未來特定時(shí)間以特定價(jià)格購買或出售標(biāo)的資產(chǎn)的權(quán)利。期權(quán)與期貨的一個根本差異在于,期貨的買方必須履行合約,而期權(quán)的買方則可以選擇履行或不履行合約。所以本文考慮在期貨市場上使用期權(quán)式交易策略。所謂期權(quán)式交易策略,即是類期權(quán)末期支付,或使用了期權(quán)思想,具有期權(quán)特性的策略,以期達(dá)到風(fēng)險(xiǎn)有限、收益無限的目的。對于未來我國金融市場重要性可想而知。 本文重點(diǎn)研究了三種期權(quán)式交易策略,并將其用于期貨市場。分別為經(jīng)典的組合保險(xiǎn)式交易策略、期權(quán)復(fù)制策略及以期權(quán)有關(guān)變量作為閾值的策略。傳統(tǒng)的組合保險(xiǎn)式交易策略具有類似期權(quán)的支付,是用投資組合保險(xiǎn)思想構(gòu)造末期收益類期權(quán)產(chǎn)品,實(shí)證結(jié)果表明投資組合保險(xiǎn)策略應(yīng)用于期貨市場時(shí),比其應(yīng)用于證券市場更具有局限性。期權(quán)復(fù)制策略是使用期貨和無風(fēng)險(xiǎn)資產(chǎn)構(gòu)造的動態(tài)策略,本文通過復(fù)制出期權(quán)的Delta,得到了類期權(quán)末期收益的組合策略,并進(jìn)一步使用期權(quán)復(fù)制策略,分別對模擬資產(chǎn)和我國期貨市場收盤價(jià)數(shù)據(jù)進(jìn)行模擬實(shí)證分析。以期權(quán)有關(guān)變量作為閾值的交易策略的理論基礎(chǔ)是,成熟市場中期貨與期權(quán)具有高度相關(guān)性。所以使用期權(quán)定價(jià)公式中計(jì)算出的期權(quán)理論價(jià)值、行權(quán)似然率等參數(shù),構(gòu)造出了一套新的期權(quán)式期貨交易策略。 本文的主要創(chuàng)新點(diǎn)在于,設(shè)計(jì)并構(gòu)造了兩種期權(quán)式交易策略,分別為基于期權(quán)價(jià)值策略和基于期權(quán)行權(quán)似然率策略。通過實(shí)證分析文中介紹的三種期貨投資策略,得到以下三點(diǎn)結(jié)論:應(yīng)用于我國期貨市場時(shí),復(fù)制期權(quán)策略明顯優(yōu)于投資組合保險(xiǎn)策略；發(fā)行以股票、期貨為標(biāo)的的歐式期權(quán),采用Delta對沖策略進(jìn)行風(fēng)險(xiǎn)對沖是有效的；期權(quán)與期貨具有高度相關(guān)性,所以使用期權(quán)的價(jià)值及行權(quán)概率指導(dǎo)期貨投資,是確實(shí)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.
【學(xué)位授予單位】：北方工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F724.5;F224

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