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把终期的期望亏损定义为风险,研究了标的资产价格服从跳扩散结构时的自筹资最小亏损风险套期保值.首先通过Monte-Carlo模拟生成标的资产若干条价格路径并用所有路径上的终期亏损平均值作为优化目标期望值的估计,然后引入基函数作为套期保值头寸的近似逼近,最后通过数值方法得到最优套期保值策略.最后通过实例分析表明:1)套期保值头寸调整的频率相对较高时,可以更好地应对市场出现的价格波动,从而降低可能面临的损失风险,达到较好的保值效果;2)欧式看涨期权的交割价格与对冲头寸呈反向变化,交割价格越高,可适当调低持有的对冲头寸,反之则反,这样,即对冲风险又节约成本.
The final expected loss is defined as the risk and the hedging risk is studied when the underlying asset price follows the jump-diffusion structure.Firstly, through Monte-Carlo simulation, several price paths of the underlying asset are generated and the final price of all the underlying assets The average value of loss as an estimate of the expected target value, and then the introduction of the basis function as the approximate approximation of hedging positions, and finally by numerical methods to obtain the optimal hedging strategy.Finally, an example shows that: 1) hedge position adjustment frequency Relatively high, it can better cope with the market price fluctuations, thereby reducing the risk of loss may be faced, to achieve better hedge effect; 2) European call option delivery price and hedge positions showed an inverse change in delivery price High, may be appropriate to reduce holdings of hedging positions, and vice versa, so that hedging risks and cost savings.