Abstract: When the underlying asset’s price follows a jump-diffusion process, we devise a dynamic hedging strategy to minimize the risk we may take. First, we use MCMC method, which covers the shortage of conventional parameter estimation methods, to estimate model’s parameters and get more appropriate parameter evaluations. Then, under the objective of risk-minimization, we consider strategies to replicate the terminal contingent claim backward through time and the optimal hedging strategy expression is explicitly acquired. According to the strategy expression, any investor may duly adjust his hedging portfolio and can achieve his purpose of hedging risk and saving cost. Finally, we elicit the relationship between the option’s time limit and strategy adjusting frequency. What’s more, demonstration shows our hedging model and method is effective and feasible.

Key words: dynamic-hedging, optimal hedging strategy, reverse inference method, jump-diffusion process

摘要： 在标的资产价格服从跳-扩散过程情况下,研究了风险最小化动态套期保值问题。首先用MCMC方法估计得到模型参数值,克服了传统的直接用样本均值和样本方差进行参数估计值的不足,与市场实际更吻合;然后在风险最小目标下,采用逐步倒推法得到随时间改变的动态最优套期保值策略解析表达式,由此可以及时做出策略调整,达到既对冲风险又节约成本的目的。文章最后通过对比分析不同期限、不同策略调整频率情况下的费用投入,得出期限和策略调整频率之间的关系,为套期保值者根据不同情况做出合理的套保策略提供了参考,另外,为满足金融机构进行压力测试或投资者为适应费率调整的需要,也分析说明了不同交易费率和策略之间的关系。

关键词: 动态套期保值, 最优套期保值策略, 倒推法, 跳-扩散过程