外汇欧式期权在分形市场下的混合对冲策略  

Mixed Hedging Strategy of Foreign Exchange European Options in Fractal Market

作　　者：侯婷婷 李志民[1] 程鹏翔[1] 何瑞彬 HOU Ting-ting;LI Zhi-min;CHENG Peng-xiang;HE Rui-bin(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《长春师范大学学报》2023年第2期21-30,共10页Journal of Changchun Normal University

基　　金：国家自然科学基金面上项目“基于半马尔科夫链的随机耦合竞争合作多智能体系统的协同控制研究”(61873294);安徽高校省级自然科学研究重大项目“基于时序数据的复杂网络拓扑结构及动力学行为研究”(KJ2019ZD16)。

摘　　要：基于分形市场,采用离散交易的方式推导外汇欧式期权的混合对冲策略.通过实证模拟从对冲频率、风险偏好和执行价三个方面综合考察该策略,验证了混合对冲策略在外汇分形市场下既能降低误差水平,又能稳定误差波动,同时得到一个优于Delta对冲策略的风险偏好区间,充分发挥对冲效益.This paper based on fractal market,deduces the hybrid hedging strategy of foreign exchange European options by discrete trading.Through empirical simulation,the strategy is comprehensively investigated from three aspects of hedging frequency,risk preference and strike price,which verifies that the hybrid hedging strategy can not only reduce the error level,but also stabilize the error fluctuation in the foreign exchange fractal market,and at the same time obtain a better risk range than Delta hedging strategy,giving full play to the hedging benefits.

关 键 词：混合对冲策略 分形市场 外汇欧式期权 Delta对冲策略 

分 类 号：F830.9[经济管理—金融学]