基于最小方差Delta的沪铜期货期权对冲效果回测  

Back Test of Hedging Effect of Shanghai Copper Futures Options Based on Minimum Variance Delta

作　　者：浦江燕 王艺天 周子凯 PU Jiangyan;WANG Yitian;ZHOU Zikai(School of Finance,Shanghai Lixin University of Accounting and Finance,Shanghai 201209;School of Finance,Shanghai University of Finance and Economics,Shanghai 201901;State Treasury Accounting and Issuance Department,Xundian Sub-branch of the PBC,Kunming,Yunnan 655200)

机构地区：[1]上海立信会计金融学院金融学院,上海201209 [2]上海财经大学金融学院,上海201901 [3]中国人民银行寻甸县支行国库会计发行部,云南昆明655200

出　　处：《上海立信会计金融学院学报》2022年第3期24-34,共11页Journal of Shanghai Lixin University of Accounting and Finance

基　　金：国家自然科学基金青年科学基金项目(11701371)。

摘　　要：期权交易的杠杆性会给投资带来较大风险,因此期权的风险管理非常重要。文章基于经典BSM模型Delta中性策略,对上海期货交易所沪铜期货期权的四种风险对冲策略进行改进,并计算这四种套期保值策略的成本:(1)经典BSM模型下每日调整标的头寸的Delta中性对冲策略;(2)基于Hull和White(2017)模型下每日调整标的头寸的最小方差Delta中性对冲策略;(3)当标的即沪铜期货的价格波动幅度超过0.4%时,再根据最小方差Delta中性进行标的头寸调整的对冲策略;(4)当最小方差Delta波动幅度超过15%时,再根据最小方差Delta中性进行标的头寸调整的对冲策略。结果表明,方法(4)最优。其原因在于方法(2)减少了方法(1)的过度对冲,方法(3)和(4)进一步对对冲的执行设置了门槛,既将期权风险控制在一定范围内,也降低了购买期货的成本,从而减少了套期保值的成本。The leverage of option trading will bring risks to investment,so the risk management of options is very important.Based on the classic BSM model Delta neutral strategy,the authors use four different hedging methods to improve the hedging effect of Shanghai copper futures contracts in Shanghai Futures Exchange.The following four situations are considered:(1)the classic BSM Delta hedging strategy of daily position adjustment;(2)The minimum variance Delta hedging strategy based on Hull and White model(2017)of daily position adjustment;(3)When the price of Shanghai copper futures fluctuates more than 0.4%,the minimum variance Delta hedging strategy adjustment is adopted;(4)When minimum variance Delta fluctuates more than 15%,the minimum variance Delta hedging strategy adjustment is adopted.After using above methods for hedge backtesting,the authors calculate the costs of four hedging strategies respectively,and find method(4)is the best.The reason is that method(2)reduces the excessive hedging of method(1),and methods(3)and(4)further set a threshold for the implementation of hedging,which not only controls the option risk within the certain range,but also reduces the cost of trading futures,thereby reducing the cost of hedging.

关 键 词：沪铜期货期权 BSM模型 希腊字母 Delta中性策略 最小方差Delta 

分 类 号：F064.1[经济管理—政治经济学] F830.59F830.9F742.5