Research On Delta Dynamic Hedging And Option Copy Strategy

The development of China's option market is still not perfect.The standardized options products of exchanges are very scarce,and standard exchange options are difficult to achieve effective risk hedging and cannot meet the needs of enterprise risk management.The growth of off-exchange options market can fill this gap.OTC options are generally tailored to the needs of investors and allow companies to use options for risk management.However,financial institutions are faced with risk management issues after selling options.Therefore,financial institutions need to use Delta hedging strategies operating option replication to risk management of option portfolios.China's securities market can meet the basic requirements of Delta's hedging strategy.However,the Delta dynamic hedging strategy based on the classical B-S formula can not meet the actual needs.When hedging,it is necessary to soften the terms and take the existing problems into consideration.Based on the literature review of the Delta Hedging Strategy.this paper chooses general point hedging strategy,Leland strategy,fixed interval hedging strategy and Whalley-Wilmott strategy.The first chapter describes the option hedging strategy in detail.Through analysis and explanation,it explains why the Delta hedging strategy has been more widely studied and applied.The second chapter discusses other risk-sensitive indicators such as Gamma,Vega.etc.,and explains why only Delta hedging is feasible at this stage.In addition.the theoretical basis and detailed steps of the four widely used and highly operational Delta hedging strategies are described.The third chapter is the main part.Based on the mean-variance discriminant standard,Excel and Crytal Ball software are used to add macros to the usual point hedging,Leland strategy,fixed point hedging,and Monte Carlo simulation of the WW strategy.The strategy is better than the ordinary point strategy.The Whalley-Wilmott strategy is better than the fixed interval hedge.Then study W-W strategy effective tolerance interval.The fourth chapter explains the source of data and sets the empirical parameters.Because of the volatility "cluster" characteristics of financial time series,the paper uses GARCH(1.1)model to calculate the stock returns volatility,and finally conducts an empirical study.Chapter 5 concludes that Delta's dynamic hedging strategy is feasible in China's securities market,and concludes the discussion,and puts forward some recommendations.Based on the analysis of the theoretical and empirical parts,It can be proved that the Delta dynamic hedging strategy is viable in the existing market in China.The application of Delta hedging strategy can not only effectively manage risks,but also solve the current lack of standardized options products in China.