Research On Delta Dynamic Hedging Of Shanghai 50ETF Options

Options are a special risk management tool.In international financial markets,options play an irreplaceable role.In particular,in large-scale investment institutions,the use of options is more extensive.There have been various options in foreign countries,including stock options,futures options,bond options,and stock index options.In our country,the option market is still in the initial stage of development,the option of the financial field is only 50 ETF options,and on-the-spot real options are mainly sugar options,soybean meal options,and copper options.In China,because of the slow development of the option market,the Shanghai Stock Exchange has not formally introduced the 50 ETF option until February 2015.Due to the lack of option data,the domestic option Delta dynamic hedge study is based on foreign option data or simulation data,and the hedging method used is also a direct reference for foreign research results.So,whether these broad-based hedging strategies are applicable to the present domestic environment,in the domestic market environment,how to use the option Delta to hedge against the adverse risk according to the characteristics of the market,and obtain reasonable income,these problems need to be solved urgently.This paper is divided into six parts,the first part is the introduction.The research background,the research significance,the research status of the relevant theories,the framework and the innovation of the thesis are introduced.The second part is the theory analysis part of the option hedging,this part from the pricing formula of the Black-Scholes model,In this paper,the influence factors of the option price are analyzed,the different estimation methods of the current option volatility are analyzed,and the theory of the option Delta hedging is described.The third part is the introduction of the option Delta dynamic hedging strategy,and the strategy is divided into a single hedging strategy and a joint hedging strategy.The single hedging strategy can also be divided into a system and a non-system hedging strategy.The single hedging strategy of the system has a larger impact on the Whalley-Wilmott hedging model,and the Zakamouline hedging model has been derived and analyzed in detail.The joint hedging strategy mainly includes the Gamma-Delta joint hedge.The fourth part is the positive analysis of the Delta dynamic hedging strategy.In the fifth part,we mainly estimate and analyze the fluctuation rate of historical volatility and GARCH(1,1)and construct a time-selective straddle dynamic Delta hedging strategy with volatility,and carry on the back-test analysis.The last part is the conclusion and the prospect.Based on the theoretical and empirical analysis,the following conclusions are drawn:1.Under the low frequency data,the hedging effect of the fixed hedging belt model is superior to the hedging effect of other models;2.Under high-frequency data,the Whalley-Wilmott model has a better hedging effect,The Whalley-Wilmott model and the Zakamouline model are less influenced by the data frequency;3.The Whalley-Wilmott model and the Zakamouline model do significantly reduce the hedging costs in the Delta Hedge;4.Gamma-Delta hedge is not good because of exposure to other risks.Gamma-VegaDelta hedging strategy has high transaction cost.Although it can increase the yield of hedge portfolio,it also increases the volatility of portfolio return.5.Through volatility timing,the performance of straddle Delta dynamic hedging strategy can be improved.The innovations of this paper are as follows:1.In the analysis of various Delta hedge models,the influence of data frequency on hedge results is considered,and the analysis is more comprehensive,which enriches the evaluation system of Delta hedge effect.2.Based on the empirical analysis of the effects of various hedge strategies,this paper explores the dynamic hedge strategy of straddle Delta with volatility timing.