摘要
BSM模型的假设之一是连续动态对冲,而在交易实践中,动态对冲只能是离散的。本文通过对离散动态对冲进行情景模拟,考察离散动态对冲误差的特征,并进一步在理论层面,推导离散动态对冲误差的分布、均值和标准差,得出离散动态对冲误差标准差与对冲次数的关系。
One of the assumptions of the BSM model is continuous dynamic hedging,while in trading practice,dynamic hedging can only be discrete.We conduct scenario simulations on discrete dynamic hedging to examine the characteristics of discrete dy-namic hedging errors.Furthermore,at the theoretical level,the distribution,mean,and standard deviation of discrete dynamic hedging errors are derived,and the relationship between the standard deviation of discrete dynamic hedging errors and hedging frequency is obtained.
作者
王元恺
陈学俊
周叔媛
夏峥
刘桉舒
Wang Yuankai;Chen Xuejun;Zhou Shuyuan;Xia Zheng;Liu Anshu
出处
《工程经济》
2024年第5期70-76,共7页
ENGINEERING ECONOMY
