跨国融资风险的期货套期保值策略分析  

An Analysis on the Futures Hedging Strategy for the Foreign Financing Risk

作　　者：盛志荣[1] 

机构地区：[1]衢州学院数理系,浙江衢州324000

出　　处：《嘉兴学院学报》2008年第1期90-93,共4页Journal of Jiaxing University

摘　　要：首先分析了期货套期保值的概念,然后假设现货资产价格和相应的期货合约中的标的资产价格均服从维纳过程,建立最小风险期货套期保值策略模型,解出最小风险期货套期保值的套期比率及其有效性指标,最后在分析套期比率及其有效性指标性质后,列举了最小风险期货套期保值策略在跨国融资风险控制中的应用。This paper firstly introduces the concept of future hedge, and secondly it establishes the minimal risk strategy model for the futures hedging based on the asset prices following the winner process, and gets the rate of the minimal risk futures hedging and the analytic expression of the effective index. Lastly an analysis has been made on the rate and the effective index, and an application example, i.e. the minimal risk strategy of the futures hedging used in the control of the foreign financing risk, is enumerated.

关 键 词：期货 套期保值 维纳过程 

分 类 号：F830.9[经济管理—金融学]