Based On The Shanghai 50 ETF Options Of Discrete Delta Hedge

As we all know, the options in international financial market has played a very important role, from the point of global trading volume in recent years, the field of options and futures trading volume is very close to that option products in financial market is a huge demand. Options wide range of applications, especially in the hedge risk has received extensive attention of researchers and the industry, they are in constant exploration and study of the optimal option hedging problem, hope that through the effective method to achieve the best hedge effect.On February 9,2015, the domestic first standardized contracts the Shanghai 50ETF options officially listed in Shanghai stock exchange, it makes up for gaps in the domestic launch of listed options, and it is an important milestone in the history of China’s options. Although Shanghai 50ETF options traded just over one year time, development is not yet mature, but trading volume is increasing, more and more people are concerned about options, application options, participate in options trading, so strengthen the research of option market in China has become an urgent and important task in the current domestic stock market healthy development. However, it is difficult to see the relevant research and application of the Shanghai 50ETF option, and about Shanghai 50ETF option delta hedging is very few articles. In order to further improve the securities market, better play the role of risk management options market, we urgently need to Shanghai 50ETF study options hedging.Black-Scholes model is one of the most widely used model of option pricing and hedging, but this model assumes that the volatility is constant, with the financial market volatility is obviously inconsistent, the real volatility is continuously changing with time. The volatility plays an important role in the option hedging, especially to the Black-Scholes model as the theoretical basis of the Delta Hedge research is very important.. In this paper, a discrete period of time, from the rolling historical volatility and implied volatility to start taking into account the cost of hedging the issue, studied the Shanghai 50ETF option Delta hedge.Application of discrete BS model, build the Delta hedge portfolios, comparison and analysis the Delta and Delta hedging errors under daily different hedge frequency. Empirical studies have found that daily hedge for different frequency, both short-term options contracts in January, March or long-term options contracts, rolling volatility relatively large fluctuations, and the implied volatility of the Delta volatility is relatively small. In terms of Delta hedging errors, both short-term options contracts in January, March or long-term options contracts, the implied volatility Delta hedging error is smaller than the rolling volatility Delta hedging error, and daily hedge 1 times effect better than the hedge frequency other cases.