以不同模型對比特幣選擇權進行 Delta Hedge 之效果比較

The Performance of Delta Hedge Toward Bitcoin Options Among Different Models

黃冠綸(Kuan-Lun Huang)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學系/碩士(2022年)

https://doi.org/10.6342/NTU202201666

摘要

本文利用虛擬貨幣市場的實際資料，回測在 Black-Scholes-Merton Model (Black and Scholes, 1973), (Merton, 1973)、Heston Stochastic Volatility (Heston, 1993) 之模型框架下，對比特幣選擇權進行模型校準、並依校準結果進行 delta hedge的效果。本文發現與 Black Scholes Model 相比，以Heston model 進行 delta hedge，能夠在統計上顯著的降低所獲得淨現金流之變異數，同時淨現金流之期望值與 Black-Scholes 模型相比並沒有顯著的改變。

關鍵字

Heston 模型 ； 比特幣 ； 虛擬貨幣 ； 選擇權 ； 動態避險

並列摘要

In this research, we back test delta hedge strategies under Black-Scholes-Merton Model (Black and Scholes, 1973), (Merton, 1973) and Heston Stochastic Volatility Model (Heston, 1993). with the real option data from Deribit. We find that comparing with Black-Scholes-Merton Model, using Heston model for delta hedge can significantly reduce the standard deviation of net cash flows, while mean of the net cash flows are insignificantly changed.

並列關鍵字

Heston Model ； Bitcoin ； Crypto ； Option ； Dynamic Hedge

參考文獻

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