The Empirical Research Of Investment Strategy Based On Option Neutral Hedge

Market neutral strategy is an investment strategy which earns absolute returnsusing the relative change between the prices of securities after hedging the market riskneutral. It takes a systemic and quantized investment process to discover the securitiesmarket pricing errors. At present, the domestic stock market neutral strategy most isthe use of stock index futures to hedge the risk of making system, less hedgingstrategies can be applied.Option specialize in risk management and risk measurement, can provide betteravoid market risk hedging tools and methods for investors to profit. The Greek valueis such a risk management tool, is an index to quantify the various risk factors ofoption positions. Through it, we can dynamic management various risk exposure andstructure variety of option strategies according to the expected changes in the pricevolatility or price direction.Based on the analysis of the influence factors of option neutral hedge, this paperproposed a new investment strategy and discusses the strategy performance indifferent market period and different constraints through the method of empirical test.It hopes that through this research, can have certain realistic significance to explorethe investment options in the future, provide a theoretical basis for the developmentand management mode of future improvement.