On Rolling Strategy of Hedging

Wu Haijun, Ma Yongkai. On Rolling Strategy of Hedging[J]. Journal of University of Electronic Science and Technology of China, 2004, 33(1): 109-112.

Citation:

Wu Haijun, Ma Yongkai. On Rolling Strategy of Hedging[J]. Journal of University of Electronic Science and Technology of China, 2004, 33(1): 109-112.

Citation:

Wu Haijun, Ma Yongkai. On Rolling Strategy of Hedging[J]. Journal of University of Electronic Science and Technology of China, 2004, 33(1): 109-112.

Abstract

In this paper, we analyzed the change in the value of rolling hedger's position and studied the basis of rolling hedge and basis risk. The rolling hedge model is estabilished based on the change in the value of rolling hedger's position and drove out the optimal hedging ratio and the minimum rolling basis risk. The dynamic adjustment was discussed in the paper on the basis of the sharing idea from actuarial science.

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