| 基于B－S模型的期权交易风险防范策略 |
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| 引用本文： | 黄道增.基于B－S模型的期权交易风险防范策略[J].台州学院学报,2012,34(3):1-4,10. |
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| 作者姓名： | 黄道增 |
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| 作者单位： | 台州学院数学与信息工程学院,浙江临海,317000 |
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| 摘 要： | 期权交易者在享受交易带来的高额利润同时，也面临着极大的风险，一类是系统性风险，一类是非系统性风险．主要针对系统性风险，通过理论结合实例，考虑利用Delta套值保值、Gamma中性保值和Vega中性保值来防范交易风险，使投资者在规避市场风险时能有一个基本认识和方向选择．
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| 关 键 词： | B-S模型 Delta套值保值 Gamma中性保值 Vega中性保值 |
On Strategies against Risks of Option Dealing Based on the Model of B-S |
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| HUANG Dao-zeng.On Strategies against Risks of Option Dealing Based on the Model of B-S[J].Journal of Taizhou University,2012,34(3):1-4,10. |
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| Authors: | HUANG Dao-zeng |
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| Institution: | HUANG Dao-zeng(School of mathematics and information engineering,Taizhou University,Zhejiang,Linhai,317000) |
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| Abstract: | Option investors win huge profit in their dealings,but great risks as well.One is systematic risk,and the other is non-systematic risk.This paper mainly deals with systematic risk combining both theories and examples to show how to hedge risks existing in the option dealings,by applying Delta hedging,Gamma neutral hedging and Vega neutral hedging.The paper will offer the investors a basic knowledge and direction in their choices of avoiding market risks. |
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| Keywords: | B-S Model Delta hedging Gamma neutral hedging Vega neutral hedging |
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