Riskiness 在選擇權避險策略上的應用

Abstract

風險是許多經濟決策和管理決策的重要一環，也是近年來越來越受重視的問題。衍生性商品是用來規避因利率、匯率和其它市場因素造成的風險的主要工具。我們使用2008年Aumann和Serrano(2008)所提出的風險指數Riskiness，來分析期初購買保護性賣權和股票為避險策略的投資組合，在不同的波動率 、距到期日時間 、股票報酬率 和股利殖利率 下，Riskiness和執行價格間的關係。我們模擬發現，當波動率越大、距到期日時間越長和標的物期望報酬越小，都會造成風險指標Riskiness越大。當股利殖利率越大，避險策略整體風險值會越大，最適執行價格遞減，對期望報酬結構上的影響不大。而波動率對風險值的影響較距到期日時間還大，前者是二次函數的關係，後者大略是線性函數的影響。

Recently, risk has become more and more serious and risk management is important in economics and management decisionmaking. Derivatives are the maintool to hedge the risk caused by interest rates, exchange rates and other market factors. We use an index of riskiness proposed by Aumann and Serrano(2008) to analyze the relationship between the Riskinessand the strike price ofhedge portfolio, which buy a stock and a protective put at the beginning. Our simulation found that the greater the volatility, the longer the time to maturity and the smaller the expected underlying asset’s return, will cause the greater the index ofRiskiness.The greater the dividend yield, the risk value is larger, the optimal strike price decrease and has little effect on the structure of portfolio expected returns.The impact of volatility on the Riskinessmore than from the maturity, the former is a quadratic function, the latter is just a linear function.