期权动态套期保值双相机决策模型及实证研究

金融市场具有多变性，投资者一般需要根据市场情况动态地改变套期保值策略，使套期保值组合价格波动的风险被对冲掉。因此，有必要建立期权动态套期保值模型，得到动态的最优期权头寸，这意味着投资者需要按照模型所得到的头寸动态调仓才能达到风险最小的目的。然而，买入期权进行套期保值需要支付期权金成本，也就是投资者为了达到风险最小化的目的需要付出成本代价。那么，付出的代价是否“划算”是投资者面临的一个问题。此外，买入欧式看跌期权可以规避现货价格下跌的风险，但欧式期权只有到到期日时才能被执行，而投资者不一定要持有期权直到到期日。于是，投资者在投资期间选择何时退出是期权动态套期保值的另一个问题。针对传统的期权套期保值策略存在错失退出良机和调仓过于频繁的问题，提出退出和调仓双相机决策准则，进一步优化传统套期保值策略。在满足预算、预期收益、头寸约束条件下，建立基于在险价值的最优期权动态套期保值模型，得到传统动态套期保值策略。在此基础上，基于经济价值视角将风险和成本代价统一化度量，利用期末绩效评价提出退出和调仓双相机决策准则，进一步修正期权套期保值策略。利用上证50ETF及以上证50ETF为标的的期权开展实证研究。研究结果表明，运用退出相机准则提供了提前退出投资的参考时间点，运用调仓相机准则通过减少不必要的调仓降低调仓成本。通过对比发现传统的期权动态套期保值策略存在缺陷，运用双相机抉择的期权套期保值策略能够获得更有效率的套期保值结果。利用退出相机提供7个参考退出交易日，若在这些交易日选择退出，投资者将获得比较大的利润，利用调仓相机后增加了收益。考虑双相机决策的期权最优套期保值模型改进了传统模型的单一决策，提出了更有效的风险控制策略，为投资者提供决策参考具有实际意义。

Dual Discretion Model of Dynamic Hedging with Option: An Empirical Study

Since the financial market has the nature of variability, investors should always dynamically adjust their hedging strategy accordingly so as to make sure the risk of portfolio price fluctuation can be hedged. Yet as the traditional static hedging with option will not meet this requirement, it is desirable to establish dynamic hedging with option model to obtain the optimal dynamic option positions. Therefore, investors should dynamically make relocation by referring to the positions generated by the established model in order to minimize the risk. However, investors should pay premium to call option and hedging, namely investors must bear the cost when they want to minimize the risk. In this case, the investors will face one problem that whether the investment is cost-effective or not. Moreover, to buy European long put option will mitigate the risk of spot price dropping. European style option can only be exercised at the expiry date. Investors will not have to hold the option until the expiry date. Then another problem for investors is how to select the most profitable timing to exit the investment.This paper puts forward the criteria of exiting investment and making adjustment to the existing problems caused the traditional strategy hedging with option such as missing the best opportunity to exit investment or too frequent relocation makings. It further optimizes the traditional strategy of hedging with option. The optimal dynamic hedging model is established on the basis of VaR (value at risk) by fulfilling the conditions of enough budgets, anticipated profit and good positions. Traditional dynamic hedging strategy is formed. Hence, the risk and cost will be uniformly measured based on economic value of risk. Furthermore, the strategy of hedging with option will be adjusted accordingly under the dual discretion criterion of exiting investment and relocation by using end-term performance evaluation. How to select the timing to exit investment during investment period will be another problem for dynamic hedging with option.The result shows that the cease of discretion rules will provide the reference timing to exit investment. Discretion criterion of relocation will decrease the cost of relocation by reducing the unnecessary relocation makings. Defects caused by the traditional dynamic hedging with option strategy are explored by comparisons. Hedging with option based on dual discretion is proved to be more effective. 7 proposed reference timings to exit investment makes a higher profit and the profit is increased when discretion criterion is applied.Optimal hedging model which takes dual-discretion into consideration improved the single-discretion in traditional model. It proposes a more effective strategy in risk control. More importantly, it has more significance in practice when investors are making their decisions.