CAJ | 학술논문

离差策略是一种对冲交易策略,它是利用股指期权和一揽子股票期权（或部分成分股构成的ETF期权）之间的隐含相关系数,获悉市场成分股期权和股指期权波动率高低的相对关系,再在成分股期权和股指期权建立相反的头寸。离差交易策略选择暴露的风险因子就是隐含相关系数,离差交易使用的是对冲的平价跨式期权交易。选用2006年5月18日至2014年7月17日前复权的沪深300股指、上证50指数和上证180指数作为样本,进行实证检验。虽然结果显著性较强,但不排除存在模型不稳定性以及由于数据不充分造成对相关系数及波动率估计的偏误。同时,离差交易使用的是对冲的平价跨式期权交易,所以组合暴露较小的Delta风险。若离差交易涉及较大的资金量时,则需要用标的资产对组合进行动态Delta中性对冲。
리차책략시일충대충교역책략,타시이용고지기권화일람자고표기권（혹부분성분고구성적ETF기권）지간적은함상관계수,획실시장성분고기권화고지기권파동솔고저적상대관계,재재성분고기권화고지기권건립상반적두촌。리차교역책략선택폭로적풍험인자취시은함상관계수,리차교역사용적시대충적평개과식기권교역。선용2006년5월18일지2014년7월17일전복권적호심300고지、상증50지수화상증180지수작위양본,진행실증검험。수연결과현저성교강,단불배제존재모형불은정성이급유우수거불충분조성대상관계수급파동솔고계적편오。동시,리차교역사용적시대충적평개과식기권교역,소이조합폭로교소적Delta풍험。약리차교역섭급교대적자금량시,칙수요용표적자산대조합진행동태Delta중성대충。
From the differential strategy is a hedging strategy, it is implied correlation coefficients between using stock index options and a package of stock option （or part of the constituent stocks ETF options）, learned high market stocks options and stock index option volatility rate, relative relations, followed a opposite positions in the constituent stock options and stock index options. The risk factor that is exposed to the differential trading strategy is the implicit correlation coefficient, which is used by the differential transaction to hedge the parity of the cross type option. Choosing from May 18, 2006 to July 17, 2014 , rehabilitation of the CSI 300 index, SSE 50 index and the SSE 180 index as samples, which has an empirical test. Although the results are significant, the model is not stable and the data is not sufficient. At the same time, the use of the differential transaction is a hedge against the parity of cross - type option trading, so the combination of exposure to smaller Delta risk.If the difference in transactions involving a large amount of money, you need to use a combination of dynamic Delta neutral hedge assets.