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[19] 储国强，卫剑波，王琦.沪深300指数障碍期权的动态对冲研究[J].武汉金融，2014(12): 25-29.
附录
该期权产品参数为1年期,执行价格102,障碍价格118,无风险利率7%,波动率25%.值得注意的是，不同产品参数背景下,该最优触发价格和新的虚拟障碍价格外移边界不同,因此针对不同期权参数,触发价格和虚拟障碍价格不同,需要重新进行遍历计算.
表A1 单纯外移边界法对冲结果
Tab.A1 Hedge result of pure outward moving barrier boundary
外移边界
新障碍价格
动态对冲平均成本
标准差
峰度
极大值
上5%分位数
上1%分位数
0.5
118.5
1.194 4
1.868 1
13.004 2
19.506 2
7.538 8
10.704 1
1
119
1.206 3
1.813 8
11.716 2
16.296 2
7.384
10.314 7
1.5
119.5
1.219
1.776 5
11.074 3
14.175
7.302 4
10.023 2
2
120
1.232 3
1.748 8
10.640 2
13.489
7.235 4
9.773
2.5
120.5
1.246
1.728 7
10.304
12.940 8
7.176 7
9.539 7
3
121
1.259 9
1.715 7
10.017 9
12.423 3
7.124 8
9.352
5
123
1.443
1.524 8
16.871 7
8.899 9
5.436 1
6.713 7
6.43
124.43
1.5151
1.756 8
16.346 9
8.690 9
5.502 3
6.697
表A2 蝶式外移边界法对冲结果
Tab.A2 Hedge result of spread outward moving barrier boundary
外移边界
新障碍价格
动态对冲平均成本
标准差
峰度
极大值
上5%分位数
上1%分位数
0.5
118.5
1.008 3
1.961 3
12.393 3
20.353 9
7.585 6
10.938
1
119
1.154 1
1.850 6
11.717 7
17.226 4
7.391 9
10.425
1.5
119.5
1.184 2
1.761 8
11.244 1
15.326 9
7.307 8
10.111 7
2
120
1.205 4
1.760 8
10.875 2
14.156
7.242 1
9.854 3
2.5
120.5
1.223 1
1.735
10.541 2
13.566 1
7.185 3
9.631 3
3
121
1.239 1
1.716 8
10.220 2
13.056 3
7.133 7
9.438 9
5
123
1.297 7
1.698 4
9.072 1
11.557 9
6.979 3
8.908 4
6.43
124.43
1.339 4
1.725 7
8.484 1
10.845 6
6.903 9
8.650 6
8
126
1.386 8
1.784 7
8.097 1
10.325 3
6.851 4
8.470 3
表A3 价差外移边界法
Tab.A3 Hedge result of butterfly outward moving barrier boundary
外移边界
新障碍价格
动态对冲平均成本
标准差
峰度
极大值
上5%分位数
上1%分位数
0.5
118.5
1.191 1
1.870 1
13.006 2
19.532 7
7.54
10.711
1
119
1.203
1.815 6
11.725 5
16.354 4
7.384 4
10.321 5
1.5
119.5
1.215 8
1.778
11.094 1
14.239 8
7.302 9
10.031 4
2
120
1.229
1.749 9
10.673 3
13.572 3
7.236 1
9.782 8
续表A3
外移边界
新障碍价格
动态对冲平均成本
标准差
峰度
极大值
上5%分位数
上1%分位数
2.5
120.5
1.242 4
1.729 3
10.330 8
13.038 5
7.177 7
9.552 1
3
121
1.256
1.715 4
10.033 7
12.54 2
7.126 2
9.364 4
5
123
1.311 8
1.714 4
9.241 6
10.889 7
6.970 7
8.829 7
6.43
124.43
1.353 8
1.755 5
8.950 2
10.546 6
6.895 3
8.601 9
8
126
1.401 9
1.827 9
8.757 2
10.443 2
6.849
8.447 1
表A4 遍历法触发式外移边界法
Tab.A4 hedge result of traversal trigger outward moving barrier boundary
触发价格
外移边界
新障碍价格
动态对冲平均成本
标准差
峰度
极大值
上5%分位数
上1%分位数
-1
0.5
118.5
1.147 1
1.855 4
13.786 5
19.506 2
7.478 7
10.762 9
1
119
1.140 5
1.82
12.703 4
16.296 2
7.379 3
10.512
1.5
119.5
1.133 3
1.799 8
12.273 7
14.184 7
7.348 7
10.339 5
2
120
1.125 4
1.787 9
12.041 5
14.184 7
7.326 9
10.197 8
2.5
120.5
1.116 6
1.782 3
11.875 5
14.184 7
7.307 9
10.081 7
-2
0.5
118.5
1.107 4
1.794 8
13.93 2
19.506 2
7.235 6
10.374 1
1
119
1.101 2
1.757 2
12.511 3
16.296 2
7.125
10.061 8
1.5
119.5
1.094 4
1.734 4
11.785 7
14.175
7.085 6
9.824 9
2
120
1.086 9
1.720 3
11.315 6
13.48 9
7.055 8
9.616 5
2.5
120.5
1.078 4
1.713 1
10.964 8
12.940 8
7.029 4
9.435 2
3
121
1.069
1.712 2
10.696 2
12.422 3
7.007 1
9.294 8
4
122
1.047 4
1.726 3
10.369 8
11.432 4
6.971 8
9.079 7
-3
0.5
118.5
1.078 6
1.765 1
14.545 7
19.506 2
7.118 3
10.309
1
119
1.072 2
1.725 2
12.961 2
16.269 2
6.994 3
9.967 7
1.5
119.5
1.062 2
1.700 7
12.11 2
14.17 5
6.944 4
9.700 8
2
120
1.059
1.685
11.539 3
13.48 9
6.907 9
9.459 3
2.5
120.5
1.050 9
1.765
11.099 4
12.940 8
6.874 5
9.249 4
3
121
1.041 9
1.674 5
10.75 7
12.423 3
6.843 7
9.084 4
4
122
1.021 1
1.687 1
10.334 3
11.432 4
6.795
8.821 8
-4
0.5
118.5
1.047 2
1.738 3
15.196 6
19.506 2
7.007 5
10.275 2
1
119
1.041 1
1.694 7
13.473 7
16.269 2
6.86
9.901 8
1.5
119.5
1.034 4
1.667 2
12.520 2
14.175
6.791 3
9.617 3
2
120
1.027 2
1.649 5
11.859 4
13.489
6.7395
9.363 8
2.5
120.5
1.079 2
1.639 5
11.34 3
12.940 8
6.694 4
9.145 4
3
121
1.011 4
1.636 5
10.936 2
12.423 3
6.655
8.958 1
4
122
0.990 4
1.648 5
10.426 2
11.432 4
6.592 9
8.665 9
续表A4
触发价格
外移边界
新障碍价格
动态对冲平均成本
标准差
峰度
极大值
上5%分位数
上1%分位数
-5
0.5
118.5
1.021 3
1.718 2
15.767 3
19.506 2
6.931 8
10.239 6
1
119
1.015 6
1.673 8
13.977 1
16.296 2
6.778 9
9.870 1
1.5
119.5
1.009 4
1.645 8
12.982 6
14.175
6.706 4
9.594 4
2
120
1.002 8
1.627 6
12.287 3
13.489
6.652
9.346 6
2.5
120.5
0.995 4
1.617 3
11.737 3
12.940 8
6.605 7
9.134 5
3
121
0.987 2
1.614 3
11.297 7
12.423 3
6.565 7
8.951 3
4
122
0.968 6
1.626 5
10.729 4
11.432 4
6.531 3
8.663 1
4.5
122.5
0.958 3
1.640 5
10.565 4
10.958 4
6.478 2
8.554 7
5
123
0.947 3
1.658 9
10.453 5
10.606 7
6.459 9
8.469 2
8
126
0.869 8
1.828
10.222 9
10.594 1
6.411 5
8.211 8
10
128
0.809 1
1.994 9
10.019 8
10.330 1
6.432 8
8.168
-6
1
119
0.983 5
1.654 7
14.619 2
16.296 2
6.7187
9.852 8
2
120
0.971 8
1.607 8
12.854 6
13.48 9
6.590 7
9.329 3
2.5
120.5
0.965
1.597 3
12.274 8
12.940 8
6.543 9
9.118 8
3
121
0.957 4
1.594 2
11.806 4
12.423 3
6.504 1
8.937 3
3.5
121.5
0.949 2
1.597 6
11.447 1
11.916 7
6.470 1
8.785 9
4
122
0.940 2
1.606 7
11.183 3
11.432 4
6.442 1
8.652 9
4.5
122.5
0.930 6
1.621
10.992 1
10.985 4
6.419 8
8.547 2
5
123
0.920 4
1.639 8
10.852 7
10.606 7
6.402 7
8.463 1
5.5
123.5
0.906 6
1.662 7
10.749 7
10.652
6.389 1
8.392 9
-6.43
4
122
0.923 5
1.595 1
11.409 5
11.432 4
6.398
8.628 7
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