怎么用期权对冲一个投资组合？

liankane 发表于 2015-6-16 15:48
Hi, As you mentioned above, there are two ways to use index option, I have a question, that is wha ...

They are very different. Hedge the daily price change is you hedge the risk on a whole stock path which means you are more concerned of the evolution of the risk as time goes. While hedge at time to maturity means you're more concerned of the risk at a particular time (in this case is maturity) and see how the level of the underlying will affect the your portfolio. Say I only worry about if the stock price goes below 100 after 3 month, then you can just buy a put option struck at 100 and matures in 3 month. However, if you are worry about the volatility of your portfolio, you need to hedge against daily price movement via dynamic hedging (e.g. delta hedge). The return curve of delta hedge, if you can hedge continuously, is the risk free rate (assumes the stock is log normally distributed and constant volatility). The return of the hedge at maturity strategy is just the option's payoff.

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Chemist_MZ 发表于 2015-6-17 09:12
They are very different. Hedge the daily price change is you hedge the risk on a whole stock path  ...

I see, Thanks!

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