股指期权的交易策略分析-金融工程专业论文.docx

PAGE PAGE IV 股指期权的交易策略分析 中文摘要 股指期权的交易策略分析 中文摘要 本文以 2013 年 11 月上线的沪深 300 股指仿真期权为出发点，系统地研究了在期 权正式推出之后，金融市场上关于期权特别是股指期权会存在哪些交易策略。对于期 权市场的投机套利方而言，总结了目前衍生品市场上广为人知的各种期权组合的投资 策略，并对各自的特点做出了一定研究。在期权的套期保值方面、重点研究了期权组 合的 Delta 中性动态对冲策略；由于股指期权并不存在标的现货，本文又研究了如何 去拟合沪深 300 指数。然后，我们进行实证分析：利用去年上线的股指期权，并用一 篮子股票来模拟股票，来印证 Delta 中性方法以及动态对冲方法的效果。最后，我们 再对即将出现的期权市场上，会出现的可能出现的各种交易机会，包括各种投机、套 利、套期保值等策略，做了简单的对比，给即将进入期权市场进行交易的投资者进行 参考。 关键词：股指期权、期权交易策略、指数复制、动态 Delta 对冲 作者：刘海涛 指导老师：钱晓松 英文摘要 股指期权的交易策略分析 Analysis of stock index options trading strategies Abstract In this paper, we start to research with the simulation CSI 300 stock index options on the line in November last year.A systematic study of the options, in particular stock index options on options about trading strategy which will exist on the financial markets after the official launch. For speculative arbitrage side options market, we conduct a summary of the current investment strategy on derivatives known with combinations of various options. In terms of hedging options, we focuse on the combination of options Delta neutral dynamic hedging strategies; because the underlying stock index optionsdoes not exist, this paper studies how to fit the CSI 300 Index.Then, we conduct empirical analysis: the use of index options on the line last year, with a basket of stocks to simulate the stock, to prove the effect of Delta neutral approach and dynamic hedging method. Finally, we summery that a variety of trading opportunities that may arise, including speculation, arbitrage, hedging and other strategies and make a simple comparison for those strategies, for those are about to enter the options market Keywords: Stock index options, options trading strategies, index replication, dynamic hedging Delta Written by LiuHaitao Superviseby QianXiaosong 目录 HYPERLINK \l _bookmark0 一、研究背景 1 HYPERLINK \l _bookmark1 二、期权的特点 2 HYPERLINK \l _bookmark2 1. 获利途径众多：上涨、下跌皆可获利，横盘亦可获利 2 HYPERLINK \l _bookmark3 2. 实现杠杆投资：用更少的钱控制更多的资产 2 HYPERLINK \l