基于波动率调整的我国类期权产品——备兑权证的delta对冲策略-delta hedging strategy of chinas stock option products based on volatility adjustment.docxVIP

lossesderivedthesethreeinterruptedtransactionsindividually.TheresearchshowsthatWhally-Wilmotthedgingstrategyissignificantlybetterthantheothertwomodels.Then,thispaperexploresthereasonswhyLelandmodelandB-Vmodelhavethepoorperformancein China warrants market theoreticallyand empiricallyand proposeanewdynamichedgingstrategy--delta-hedgingstrategybasedonlinearadjustmentpresetsvolatilityuptothediagnosis.Thenewstrategyexhibitslightlyhigherearningsexpectations,butalsoarelativelystableearningtrendcomparedwithLelandmodelandB-Vmodelwhichissuitableforhedgingstrategiesofwarrantsissuersandsound-basedinvestorsintheinitialoperationofthemarket.Finally,combinedwiththevolatilityforecastingmethodsanddynamichedgingstrategiesexploredabove,somesuggestionsaregiventotheupcomingoptionsmarketaswellasoptionproducts’issuers.Keywords：Historicalvolatility;GARCHmodeltoquantifyvolatility;pricingmodelofcoveredwarrants;denamicdelta-hedgingstrategies;lossdistribution目录第一章绪论..................................................................................................................11.1选题背景...................................................................................................11.2国内外研究现状.......................................................................................11.3研究思路与目的.......................................................................................61.4论文结构安排...........................................................................................71.5研究方法及数据来源...............................................................................71.6本文创新点...............................................................................................8第二章国内外期权衍生品市场现状..........................................................................92.1国际期权衍生品发展现状.......................................................................92.2我国大陆权证市场现状及面临问题.....................................................102.3备兑权证的基本性质.........................................................................