Research On The Hedging Strategy Of Stock Index, Stock Index Futures And Stock Option

With the development of financial markets, financial derivatives such as stock index, stock index futures and stock index options have rapidly developed and become an indispensable investment and hedging tolls for investors.Researching the hedging ratios for stock index, stock index futures and stock index options has become more and more popular in recent years since its benefits in reducing market risks and bringing stable returns for investors, In this paper, we selected CSI300Fund as the stock index products, HS300index futures as the stock index futures and simulated European call and put option based on the CSI300Index in accordance with the BS formula because of stock i ndex opt i ons have not opened i n Chinese financial markets,We used the Delta-Gamma Model as the dynamic hedging model and used the VaR Model as the static model and as the mean while we extended the Variance Model from static for dynamic. We used three different derivatives such as stock index, stock index futures and stock index options in our model to hedge risks. After that we draw conclusions about hedging efficiency of each model and the difference between them according to the adjusting positions interval, hedging assets composition and degree of confidence for losing using the hedging efficiency evaluation models such as HE, HBS and Lindal models,In addition, this paper mainly selected data when stock index had a down expectation and the conclusion of this paper can provide a good theory and practice guidance for investors to hedge risk using HS300index futures and stock index options.