J Shanghai Jiaotong Univ Sci

Journal of Shanghai Jiaotong University(Science) >

2016 , Vol. 21 >Issue 1: 51 - 56

DOI: https://doi.org/10.1007/s12204-016-1698-z

Price Fluctuation, Risk Hedge and Choice of Optimal Point

Expand
  • (1. Guanghua School of Management, Peking University, Beijing 100871, China; 2. Beijing Center for Industrial Security and Development Research, Beijing Jiaotong University, Beijing 100044, China; 3. School of Finance, Central University of Finance and Economics, Beijing 100081, China)

Online published: 2016-03-21

Fold

Abstract

On the question of optimal hedge ratio, this paper firstly draws the chance to choose a market-entering point to the model. Using the replication principle of finance engineering, we make an assumed equity and get the optimal hedge ratio of the model, which gives the theoretical support to the practice. We should not only concern on the market-entering point, but also concern on the period of the hedge that still influences the effect of hedging. But only the period of hedging gives its affection if the time is relatively long.

Key words： market-entering point; hedging ratio; replication principle

Cite this article

ZHAO Chengzhen1* (赵成珍), BU Wei2 (卜伟), SONG Jinling3 (宋锦玲) . Price Fluctuation, Risk Hedge and Choice of Optimal Point[J]. Journal of Shanghai Jiaotong University(Science), 2016 , 21(1) : 51 -56 . DOI: 10.1007/s12204-016-1698-z

References

[1] LU Y. Overseas “hedging” huge loss [J]. Manager,2009(3): 86-87 (in Chinese). [2] HULL J. Hull options, futures, and other derivatives[M]. Beijing: Tsinghua University Press, 2006: 70-78. [3] LIU W, XIE C, CHEN D H. The optimal hedge ratioestimation method [J]. Comparative Economic andSocial Systems, 2005(6): 71-74 (in Chinese). [4] PENG H F, YE Y G. The evaluation and comparisonresearch of dynamic optimal hedging ratios based onmodified ECM-GARCH [J]. Chinese Journal of ManagementScience, 2007, 15(5): 29-35 (in Chinese). [5] HE X B, ZHOU H. China’s futures market hedgingeffectiveness of measure [J]. Statistics and Decision,2006(14): 56-58 (in Chinese). [6] YUAN X, YU S Q. Calculation of optimal hedge ratioof stock index futures under time-varying variance [J].Journal of Dalian Maritime University (Social ScienceEdition), 2008, 7(1): 52-55 (in Chinese). [7] SHREVE E. Stochastic calculus for finance [M].Shanghai: Shanghai University of Finance Press, 2008:110-118. [8] YANG Q S, LIU H. An extension to moderate deviationfor stochastic differential equation with poissonjumps and applications [J]. Acta Mathematica Sinica,2009, 52(3): 601-604 (in Chinese). [9] XUE M G, ZHOU S B, HU S G. Stability of nonlinearneutral stochastic functional differential equations[J]. Journal of Applied Mathematics, 2010, 2010:425762. 1-26. [10] CAMPELLO M, LIN C, MA Y, et al. The real andfinancial implications of corporate hedging [J]. TheJournal of Finance, 2011, 66(5): 1616-1647.
Options
Outlines

/

〈 〉