外汇期权敏感性分析

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Journal of Wuhan University of Technology ›› 2006, Vol. 28 ›› Issue (2) : 134-136.
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Sensibility Analysis About Foreign Exchange OptionCHEN Rong-da~1,XIAO De-yun~2(1.School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China;2.School of Economics,Wuhan University of Technology,Wuhan 430074,China)All Factors which affected the prices of foreign exchange options should be understood in the course of hedge of the options.The paper analyzed three parameters,Delta,Gamma and Theta,and described the risk features of the options and its portfolio by using the financial parameters from the different angles.Moreover,it gave the economic implication of the three financial parameters and carried out hedge of the options how to use them.foreign exchange option;hedge;sensibility analysis

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