逐日盯市风险下的成堆套期保值模型

摘要

逐日盯市风险的存在可能会引发套期保值的期货合约被平仓，从而大大降低套期保值的有效性。针对这个问题，本文提出了逐日盯市风险下的成堆套期保值模型。在此基础上，通过引入辅助模型和模型的等价转换，将该模型转化成可分的模型；最后，采用动态规划方法，给出了该模型的解析解。%Mark-to-market risk may lead to the outcome that the position taken by the hedger will be closed out by the exchange.It results in a worse performance.To solve the problem,this paper proposes a multiperiod stack-and-roll hedging model with mark-to-market risk.Based on these,it introduces an auxiliary model and adopts the e-quivalent transformation technique.Finally,it gives the analytic expressions.