海外股指期货与期权市场并行发展的理论揭示

构建投资者同时利用股指期货和股指期权套期保值的期望效用最大化模型,从投资者需求角度解释股指期货和股指期权市场并行发展格局形成的必然。研究发现:当假设股指期货价格和股指期权价格无偏时,投资者完全利用股指期货套保是最优的,此时股指期权是多余的;当假设股指期货价格有偏,股指期权价格无偏时,投资者需要利用股指期货和股指期权两种套期保值工具的组合达到最优套期保值效果,此时,股指期权是必要的。认为,在沪深300股指期货平稳运行之后,中国应该适时推出同一标的指数的股指期权产品,形成股指期货和股指期权市场并行发展的股指衍生品市场格局。

The Explanation in Theory of the Overseas Stock Index Futures and Option Markets Developing in Parallel

In order to illustrate why the mature stock index futures and option markets develop in parallel, this paper develops an expected utility maximization model to choose the optimal hedging alternatives when a fund company facing the stock market price change use the stock index futures and stock index option portfolios to avoid the risk. The main results are as follows: suppose that stock index futures and options markets are unbiased, a full hedge on stock index futures market is optimal and a stock index option is redundant; suppose that the stock index futures market is biased whereas the stock index options market is unbiased, a hedge on both stock index futures and options market is optimal and a stock index option is necessary. This conclusion gives evidence that China should continuously develop the index derivatives markets. Thus, it further suggests that with the steady operation of Shanghai-Shenzhen 300 stock index futures, China could launch the stock index options with the same underlying index in due time and form a pattern that stock index futures and option markets develop in parallel.