Hedging Strategy Involving Future and Option Simultaneously
Shaohua Li · Journal of Tongji University · 2002
In this paper,the authorrs discuss a hedging strategy involving future and option simultaneously.Investors with dissimilar needs may have their own estimation to the future price movement and different power of endurance to the risk.We use the probability theory and financial pricing theory to find an optimal portfolio for investors on the basis of the future price,various option prices with different strike price,the enduring capacity of the risk and the investor's own estimation to the future price.The standard of the optimum portfolio is to make the mathematics expectation of the profit to be maximum in the scope of given risk level.