Delta-neutral Dynamic Hedging Of The HS300 Stock Index Futures And Option Portfolio--The Evidence From Simulation

摘要

Evidence provided by traders in derivative-asset market suggests that use of 'delta-neutral' hedging strategy is a common and effective approach in achieving desired hedged investment goals. The principal objective of this research is to develop a model that can supply the effective hedge for HS300 index futures in a perfect market. The results of this analysis show that a protective 'delta-neutral' strategy produces a more effective hedge on a riskreturn trade-off than the other hedging examined,daily adjusting is optimal. So it suggests the developing strategy for the stock index derivatives markets in China is needed urgently.