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Quantitative Financial Risk Management pp 29–38Cite as

Comparative Study on Minimizing the Risk of Options for Hedge Ratio Model of Futures

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Part of the book series: Computational Risk Management ((Comp. Risk Mgmt,volume 1))

Abstract

The option risk management model is a method to measure the finance risk and management market risk. Based on the contrast research on this option hedge ratio under the traditional minimum variance risk management model. This article has analyzed CVaR the minimum option hedging optimization model. And it explains its difference with minimum variance model. It also provides a reference for the hedgers on the option hedge’s study.

Chinese Library classification number: F830.9 Document code: A

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References

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Author information

Authors and Affiliations

  1. Department of Education and Educational Technology, Jiangmen Polytechnic, JiangMen, Guangdong, China

    Luo Wenhui

Authors
  1. Luo Wenhui
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Corresponding author

Correspondence to Luo Wenhui .

Editor information

Editors and Affiliations

  1. , Risklab, University of Toronto, Spadina Crescent 1, Toronto, M5S 3G3, Ontario, Canada

    Dash Wu

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© 2011 Springer-Verlag Berlin Heidelberg

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Wenhui, L. (2011). Comparative Study on Minimizing the Risk of Options for Hedge Ratio Model of Futures. In: Wu, D. (eds) Quantitative Financial Risk Management. Computational Risk Management, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19339-2_3

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