The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Study on a Hedging Volatility Depending on Path Type of Underlying Asset Prices

기초자산의 추세 여부에 따른 헤지변동성의 결정에 관한 연구

  • Koo, Jeongbon (HMC Investment Securities, Over-the-Counter Derivative Team) ;
  • Song, Junmo (Department of Computer Science and Statistics, Jeju National University)
  • 구정본 (HMC 투자증권 장외파생상품팀) ;
  • 송준모 (제주대학교 전산통계학과)
  • Received : 2012.08.03
  • Accepted : 2013.01.24
  • Published : 2013.02.28
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Abstract

In this paper, we deal with the problem of deciding a hedging volatility for ATM plain options when we hedge those options based on geometric Brownian motion. For this, we study the relation between hedging volatility and hedge profit&loss(P&L) as well as perform Monte Carlo simulations and real data analysis to examine how differently hedge P&L is affected by the selection of hedging volatility. In conclusion, using a relatively low hedging volatility is found to be more favorable for hedge P&L when underlying asset prices are expected to be range bound; however, a relatively high volatility is found to be favorable when underlying asset prices are expected to move on a trend.

본 논문에서는 기하브라운운동(geometric Brownian motion)을 기반으로 표준옵션의 델타헤지를 수행하는 경우, 헤지변동성의 선택이 헤지손익에 미치는 영향을 재탐색하였다. 이를 위하여, 헤지변동성과 헤지손익과의 관계를 고찰하였으며, 모의실험과 실증분석을 통하여 기초자산의 추세에 따라 헤지변동성을 달리 선택하는 것이 최종 헤지손익에 유리할 수 있음을 살펴보았다. 구체적으로, 등가격 표준옵션의 헤지매매 시 향후 기초자산이 횡보할 것으로 예상될 때에는 헤지변동성을 상대적으로 크게, 추세가 형성될 것으로 예상될 때에는 비교적 작게 사용하는 것이 손익에 유리하였다.

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References

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