上证50ETF期权风险管理与套利策略研究  

Research on Risk Management and Arbitrage Strategy of SSE 50 ETF Option

作　　者：许桐桐 王苏生[1] 彭珂[1] XU Tong-tong;WANG Su-sheng;PENG Ke(School of Economics and Management,Harbin Institute of Technology,Shenzhen 518055,China)

机构地区：[1]哈尔滨工业大学深圳研究生院经济管理学院,广东深圳518055

出　　处：《华北电力大学学报（社会科学版）》2018年第1期47-54,共8页Journal of North China Electric Power University(Social Sciences)

基　　金：国家自然科学基金"上市公司环境绩效与公司价值和风险关系-基于金融投资角度的理论和实证分析"(71103050);深圳市软科学基金"基于高频数据的证券市场动力学及其应用研究"(JCYJ20140417173156101)

摘　　要：上证50 ETF期权作为重要的金融衍生工具,其主要的市场功能之一是风险转移功能,一般通过购入认沽期权抵消现货ETF价格下跌风险或根据Delta指标进行风险管理;上证50 ETF期权的另一个重要功能便是无风险套利,包括通过备兑开仓获取权利金、根据期权权利金价格的上下限进行无风险套利和依据Gamma指标进行无风险套利。通过理论介绍和案例分析发现,上证50ETF期权能够较好的发挥市场功能。The SSE 50 ETF option is the first of exchange trading option in China,and it is an important financial derivative.One of its major market functions is risk transferring,which is usually carried out by buying put options or according to Delta index.Another important function of the SSE 50 ETF option is risk?free arbitrage,including by means of covered call,according to the upper and lower limitation of the premium,or on the basis of Gamma index.Through theoretical analysis and case study,it is found that the SSE 50ETF option can play the market function well.

关 键 词：期权 风险转移 无风险套利 

分 类 号：F830.91[经济管理—金融学]