摘要
白糖期权上市以来,为食糖产业链企业带来了更为灵活、方便、高效的场内风险管理工具,进一步拓宽了实体企业的套保途径。本文将套期保值模型运用于白糖现货与期权的套期保值,并在最小VAR条件下结合DCC-GARCH模型实证分析期权对现货套保的效果。研究结果表明:相比不套保,白糖动态套保在大多数执行价格下增加组合收益率波动的同时,收益均值也会增加;白糖期权的不同执行价格会影响期权的虚实程度,从而影响收益率,导致套保效果不同。
Since the listing of white sugar options, it has brought more flexible, convenient and efficient on-site risk management tools for sugar industry chain enterprises, and further broadened the insurance coverage of entities. In this paper, the hedging model is applied to the hedging of white sugar spot and options, and the DCC-GARCH model is used to empirically analyze the effect of options on spot hedging under the minimum VAR condition. The results show that compared with no hedging, white sugar dynamic hedging increases the combined yield volatility under most execution prices, while the average value of income will increase;the different execution prices of white sugar options will affect the real and false degree of the option,thus affecting the income. Rate, resulting in different hedging effects.
作者
高扬
刘起材
Gao Yang;Liu Qicai
出处
《价格理论与实践》
北大核心
2019年第3期101-104,共4页
Price:Theory & Practice
基金
农业部、财政部现代农业(糖料)产业技术体系建设专项资金资助(编号:CARS-170601)
首都流通业研究基地(JD-YB-2019-015)
