期刊论文

英文

International Journal of Information Technology and Management

1461-4111

2024

23

2

137-155

https://doi.org/10.1504/IJITM.2024.137769

The authors have no potential conflict of interest to declare and are responsible for the consequences of this article. This paper is supported by Research Center of Industrial Transformation and Innovation (CZ21C01), Zigong key research base of philosophy and Social Sciences, Zigong 643000, Sichuan, China.

本校为其他机构

In this article, a model for options hedging under the budget and margin calls restrictions for buying put options and selling call options, respectively, is proposed. The proposed models are then solved by using the innovative interior point approach. This study analyses the effectiveness of Chinese SSE 50ETF options for hedging with and without the addition of margin calls. We find that the hedging approach of net buying put options or net selling call options is less profitable than the hedging strategy of buying call options while simultane...