{"title":"动态对冲","authors":"H. Shin","doi":"10.1093/oso/9780198847069.003.0004","DOIUrl":null,"url":null,"abstract":"Dynamic hedging can replicate the payoffs of state-contingent assets such as options. Delta hedging aligns the portfolio of risky and safe assets in line with the delta of the option. However, when risk is endogenous, delta hedging can inject feedback loops into market prices, so that delta hedging can lead to large market moves. The 1987 stock market crash is brought in as an illustration.","PeriodicalId":243382,"journal":{"name":"Risk and Liquidity","volume":"13 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Dynamic Hedging\",\"authors\":\"H. Shin\",\"doi\":\"10.1093/oso/9780198847069.003.0004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Dynamic hedging can replicate the payoffs of state-contingent assets such as options. Delta hedging aligns the portfolio of risky and safe assets in line with the delta of the option. However, when risk is endogenous, delta hedging can inject feedback loops into market prices, so that delta hedging can lead to large market moves. The 1987 stock market crash is brought in as an illustration.\",\"PeriodicalId\":243382,\"journal\":{\"name\":\"Risk and Liquidity\",\"volume\":\"13 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-07-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk and Liquidity\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/oso/9780198847069.003.0004\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk and Liquidity","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/oso/9780198847069.003.0004","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Dynamic hedging can replicate the payoffs of state-contingent assets such as options. Delta hedging aligns the portfolio of risky and safe assets in line with the delta of the option. However, when risk is endogenous, delta hedging can inject feedback loops into market prices, so that delta hedging can lead to large market moves. The 1987 stock market crash is brought in as an illustration.
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