北京航空航天大学学报(社会科学版) ›› 2018, Vol. 31 ›› Issue (2): 75-83.DOI: 10.13766/j.bhsk.1008-2204.2017.0111

• 本期特约专家稿件 • 上一篇    下一篇

基于股指期权的股指期货交易风险管理

任若恩, 王超   

  1. 北京航空航天大学 经济管理学院, 北京 100083
  • 收稿日期:2017-04-26 出版日期:2018-03-25 发布日期:2018-04-03
  • 作者简介:任若恩(1948-),男,湖南湘阴人,教授,博士,研究方向为金融工程.
  • 基金资助:

    国家自然科学基金重点项目(71333014);国家自然科学基金青年项目(71401112)

Index Futures Trading Risk Management Based on Index Options

REN Ruoen, WANG Chao   

  1. School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China
  • Received:2017-04-26 Online:2018-03-25 Published:2018-04-03

摘要:

在金融期货市场上,股指期货的价格与其标的现货指数的偏差为投资者提供了进行股指期货期现套利的机会。将股指期货和基差看作是标的现货指数的或有权益,对比了股指期货交易者与股指期权交易者的损益,使用平值股指期权的价格给出了期现套利新的边界条件,提出了运用股指期权在股指期货单边交易及期现套利中进行价格风险管理的方法。基于沪深300股指期货进行了实证研究,结果表明,自2015年6月以后由于套利机制的缺乏,股指期货出现了极端贴水的情况。由此得出推出股指期权完善金融市场产品体系的重要性。

关键词: 股指期权, 股指期货, 基差, 期现套利, 期权定价, 价格风险管理, 金融市场产品

Abstract:

In financial futures markets, the deviation between the price of index futures and underlying spot index will give the investors the opportunities of index spot futures arbitrage. This paper, viewing the index futures and basis as the contingent claims of index spot, compares the four basic types of index options trading, uses the prices of the at the money options to give the size of violation of the no arbitrage boundary, and proposes the method of risk management using the index options. We present the empirical evidence based on the China Securities Index (CSI) 300 index. The results show that from June, 2015, the basis is extremely large due to lack of arbitrage mechanism. Therefore, the importance is emphasized of launching the index options to complete the products of financial markets.

Key words: index option, index futures, basis, index arbitrage, option pricing, price risk management, products of financial markets

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