外汇欧式期权在市场不完备下的对冲误差分析.

This paper studies the hedging error of foreign exchange options. In respect of the typical static and dynamic Delta hedging strategies, under the circumstance of incomplete market, in which hedging process is discontinuous and interest rate parity theory is not established, the hedging error formulas of spot hedging and forward hedging are given, which can be used to measure the risk of actual hedging portfolio more accurately. In the process of studying Delta hedging strategies, this paper presents a forward exchange rate model including the friction coefficient ε. And by analyzing the difference between the spot hedging and forward hedging, a criterion for choosing the optimal hedging method is given. The criterion depends on the friction coefficient ε, so the market maker can choose the optimal risk hedging method only through real-time monitoring of friction coefficient ε, thus improving the hedging efficiency. The specific analytic formula of hedging error and the criterion of optimal hedging method proposed in this paper provide theoretical basis for foreign exchange option hedging and its risk management. The empirical results show that, the expected return difference proposed in this paper is basically consistent with the actual hedging portfolio, which verifies the rationality of the criterion. [ABSTRACT FROM AUTHOR]