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  作者: 胡留所 ;

  关键词: 利率下行;金融风险;上证50ETF期权;delta法套期保值

  发表日期: 2016-12

  出版社(学位授予单位): 西安欧亚学院

  摘要: 经济增速放缓以及利率下行给投资市场带了诸多的不良预期,投资者需要更多的关注于市场中存在的系统性风险,以避免市场风险造成的损失,案例在此经济背景下设计。期权产品比期货占用资金量较小,交易方式灵活,是资产组合中比较理想的对冲产品,是金融风险管理的重要工具。案例情形为有特殊偏好的投资者,在危险度比较高的市场下进行投资,围绕如何设计出具有风险对冲策略的投资组合进行教学。在案例的执行中首先解决如何通过R语言快捷精确的算出期权的实际价值,并计算出其delta;其次根据delta算出与资产价值相应的期权份额,并在交易日期内做动态的调整;最后根据案例进展状态进行资产组合的效益评价,并对案例教学效果进行评价。

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  作者: 胡留所 ;

  关键词: 利率下行;金融风险;上证50ETF期权;delta法套期保值

  发表日期: 2016-12

  出版社(学位授予单位): 西安欧亚学院

  摘要: 经济增速放缓以及利率下行给投资市场带了诸多的不良预期,投资者需要更多的关注于市场中存在的系统性风险,以避免市场风险造成的损失,案例在此经济背景下设计。期权产品比期货占用资金量较小,交易方式灵活,是资产组合中比较理想的对冲产品,是金融风险管理的重要工具。案例情形为有特殊偏好的投资者,在危险度比较高的市场下进行投资,围绕如何设计出具有风险对冲策略的投资组合进行教学。在案例的执行中首先解决如何通过R语言快捷精确的算出期权的实际价值,并计算出其delta;其次根据delta算出与资产价值相应的期权份额,并在交易日期内做动态的调整;最后根据案例进展状态进行资产组合的效益评价,并对案例教学效果进行评价。

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