摘要： 在金融市场中，不论是做市商利用场外期权售出期权后对冲 Delta 带来 的风险，还是投资者未来利用场内期权交易出现的各种交易策略，都需要金融研 究者们开发出风险度较小的 Delta 对冲策略。由于欧式看涨期权和欧式看跌期权， Gamma 值都大于零，所以做市商在在卖出期权或者交易者们在对冲 Delta 风险时 都要承担 Gamma 风险带来的相应损失，如何减少这一损失一直都是金融业内人 士一直关注的问题。经典的 Black-Scholes 模型假设交易者可以连续的对冲风险， 对冲合约的标的也可以分割为任意小，而且假设交易成本为零。但现实生活中， 基于 Black-Scholes 模型假设的基本上都没有办法实现，因此业内人士会考虑如 果把模型的假设条件宽松之后，设计出有效的降低风险的 Delta 对冲策略。相对 于模型假设的其他的条件而言，最容易放宽条件的便是交易成本，而且在金融理 论上交易成本也占有重要的位置，因此首先放宽的的条件便是当交易成本不为零 时候，设计出有效的对冲策略。利用 Delta 对冲，首先考虑是其对冲的频率，而 每一次地的对冲操作都会产生相应的误差，Gamma 值的大小以及对冲的频率决 定的 Delta 对冲的误差，因此本文通过利用 Gamma 值的大小动态的调整 Delta 对冲的频率，从而设计出一种有效策略能尽可能的控制交易风险，以及将对交易 者不利的风险敞口尽量减少。66303

在对冲策略的以往的研究以及设计中大多都是基于模型的分析，得出的结论 都是基于理论情况，没有利用真实数据进行实证分析。因此本文首先通过理论的 分析找出 Delta 对冲的特性，在此基础上提出相应对冲策略，然后通过蒙特卡罗 模拟数据验证策略，再利用实际数据进行实证分析，最终验证对冲策略的准确性。

毕业论文关键词： 期权；对冲；风险；蒙特卡罗；实证分析

An Empirical Analysis of Delta Dynamic Hedging

Abstract: In the financial market, whether it is the risk of hedging Delta after the out-of-the-box option is used by the market maker, or the various trading strategies that investors will use in the future option trading, financial researchers need to develop A less risky Delta hedge strategy. Because the European call option and the European put option, the Gamma value is greater than zero, so the market maker in the sell option or traders in the hedge Delta risk to bear the corresponding loss of Gamma risk, how to reduce this loss has been Are the financial industry has been concerned about the issue. The classic Black-Scholes model assumes that the trader can hedge the risk of hedging, and that the subject of the hedge contract can be pided into any small, and the transaction cost is zero. However, in real life, there is no way to achieve the assumption based on the Black-Scholes model, so the industry will consider the design of effective risk reduction Delta hedging strategy if the assumptions of the model are relaxed. Relative to the model assumptions, the easiest way to relax the conditions is the transaction costs, and financial theory, transaction costs also occupy an important position, so the first condition is relaxed when the transaction cost is not zero, Design an effective hedge strategy. Using the Delta hedge, the first consideration is the frequency of its hedge, and each time the hedging operation produces a corresponding error, the size of the Gamma value, and the error of the Delta hedge determined by the frequency of the hedge. Therefore, by using the size of the Gamma value Adjust the frequency of Delta hedging to design an effective strategy to control the risk of trading as much as possible and to minimize the risk exposure to traders.

Most of the previous research and design of hedging strategy are based on the model analysis. The conclusion is based on the theoretical situation, and the real data are not used for empirical analysis. Therefore, this paper first finds out the characteristics of Delta hedge by theoretical analysis. On this basis, we propose the corresponding hedging strategy, and then use Monte Carlo to simulate the data verification strategy, and then use the actual data for empirical analysis, and finally verify the accuracy of hedging strategy.