看跌期权套期保值策略及其失败率

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摘要翻译：
本文重新考虑了股票套期保值问题，即从一组可用的看跌期权中选择一个看跌期权来对冲股票的市场风险。提出了一个确定潜在损失超过预定风险价值水平的概率的公式，并利用该公式寻找最优执行价格和最优套期保值比率。本文放宽了所选择的看跌期权在货币内完成和套期保值预算约束的假设。提出了一个假设检验来确定套期保值策略的失败率是否大于预定的风险水平。通过仿真比较了所提方法和基于这两种假设的方法的性能。模拟实验结果表明，该方法比采用这两种假设的方法要谨慎得多。
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英文标题：
《Hedging strategies with a put option and their failure rates》
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作者：
Guanghui Huang, Jing Xu, Wenting Xing
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  The problem of stock hedging is reconsidered in this paper, where a put option is chosen from a set of available put options to hedge the market risk of a stock. A formula is proposed to determine the probability that the potential loss exceeds a predetermined level of Value-at-Risk, which is used to find the optimal strike price and optimal hedge ratio. The assumptions that the chosen put option finishes in-the-money and the constraint of hedging budget is binding are relaxed in this paper. A hypothesis test is proposed to determine whether the failure rate of hedging strategy is greater than the predetermined level of risk. The performances of the proposed method and the method with those two assumptions are compared through simulations. The results of simulated investigations indicate that the proposed method is much more prudent than the method with those two assumptions.
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PDF链接：
https://arxiv.org/pdf/1110.0159

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关键词：套期保值 看跌期权 失败率 Applications Quantitative 提出 期权 hedge risk 价值