摘要
随着我国商品期权交易的快速发展,商品期权已经逐渐成为增强金融市场抗风险能力的重要工具。本文运用二叉树模型和蒙特卡罗模拟法对豆粕期权合约进行定价,随后根据期权价格和标的合约价格分别计算出Delta值并得出Delta趋势图,根据Delta的分布情况选取可容忍区间进行固定区间的Delta动态对冲。研究结果表明:无论是利用二叉树模型,还是蒙特卡罗模拟法进行实证分析,都是可容忍区间小的对冲效果较好;对于看涨期权而言,投资者面对看涨期权多头时应选择可容忍区间较大的来减少对冲次数。最后,本文提出丰富商品期权的交易种类、提升期权交易市场效率、强化风险管理意识等促进期权快速发展的政策建议。
With the rapid development of commodity options trading in China,commodity options have gradually become an important tool to enhance the ability of financial markets to resist risks.This paper uses the binary tree model and Monte Carlo simulation method to price soybean meal option contracts,and then calculates the Delta value according to the option price and the underlying contract price respectively,and obtains the Delta trend chart,finally,,the tolerable interval is selected to carry out a fixed interval Delta dynamic hedge based on the distribution of Delta.The research results show that:whether it is using the binary tree model or Monte Carlo simulation method for empirical analysis,he hedging effect with a small tolerance interval is better;For call options,investors should choose a larger tolerable range when facing long call options to reduce the number of hedging.Finally,this article puts forward policy recommendations to promote the rapid development of options,such as enriching the trading types of commodity options,improving the efficiency of the option trading market,and strengthening the awareness of risk management.
出处
《价格理论与实践》
北大核心
2021年第7期125-128,166,共5页
Price:Theory & Practice
基金
湖北省教育厅科学研究计划青年人才项目(Q20191803)
湖北省教育厅哲学社会科学研究青年项目(19Q126)
关键词
豆粕期权
二叉树模型
蒙特卡罗模拟
Delta动态对冲
soybean meal option
binary tree model
Monte Carlo simulation method
Delta dynamic hedging
