保值率

The others and the fourth part proves subject theory to Empirical Study and Hedging Effect on the Stock Index Futures.

第三部分其他和第四部分为股指期货保值率实证研究。

We get new hedging ratios, total risk of hedging, short hedging risk and long hedging risk.

导出新的套期保值率及其相应的套期保值总风险，空头套期保值风险和多头套期保值风险。

In this paper, by the analyses about the strategy of the combination hedge in futures markets and its risk, we get least squares estimation of the hedge ratio and its risk.

对期货市场组合套期保值策略和保值风险进行了分析，给出组合套期保值率的最小二乘估计和保值风险的估计。

To reduce the basis risk, this thesis offers a compound hedge policy on stock index futures and deduces the expressions of the hedge ratio in two instances when the cost is same or restricted.

为了降低套期保值交易的基点差风险，本文提出了利用多种股票指数期货对股票组合进行复合套期保值的策略，并给出了套期保值成本相同和限制套期保值成本两种情况下的套期保值率公式。

Determining of the Hedge Ratio for Option Trade When the Underlying Stock Price is a Renewal Jump-Diffusion Process

标的股票价格服从跳跃-扩散过程的期权套期保值率确定