期刊论文

Managing Value at Risk by Hedging with Quanto Options

中文

西南师范大学学报(自然科学版)

1000-5471

2015

5

39-43

10.13718/j.cnki.xsxb.2015.05.009

2013NK3017:湖南省科技厅一般项目 2013KN36:衡阳市科技局农业科技支撑计划

本校为第一机构

在固定汇率制度下，对使用双币种看跌期权对外国股票风险进行对冲的问题进行了研究，采用了最小化VaR风险控制获得了该问题的解，并从理论论证和数值计算两个角度说明利用最小化VaR可以对外国风险资产进行风险控制。

Minimal VaR risk management for stock has been studied in this paper by means of Quanto op-tion hedge under a fixed exchange rate system .The researches find that it can also control the assets risk and exchange rate risk the VaR risk management by means of Quant...