以不同模型對比特幣選擇權進行 Delta Hedge 之效果比較

Abstract

本文利用虛擬貨幣市場的實際資料，回測在 Black-Scholes-Merton Model (Black and Scholes, 1973), (Merton, 1973)、Heston Stochastic Volatility (Heston, 1993) 之模型框架下，對比特幣選擇權進行模型校準、並依校準結果進行 delta hedge的效果。本文發現與 Black Scholes Model 相比，以Heston model 進行 delta hedge，能夠在統計上顯著的降低所獲得淨現金流之變異數，同時淨現金流之期望值與 Black-Scholes 模型相比並沒有顯著的改變。

In this research, we back test delta hedge strategies under Black-Scholes-Merton Model (Black and Scholes, 1973), (Merton, 1973) and Heston Stochastic Volatility Model (Heston, 1993). with the real option data from Deribit. We find that comparing with Black-Scholes-Merton Model, using Heston model for delta hedge can significantly reduce the standard deviation of net cash flows, while mean of the net cash flows are insignificantly changed.