做市商业务交易策略及风险管理方案

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1、国信证券股份有限公司期权做市商业务交易策略及风险管理方案另类投资总部周振宇2013/8/22国信证券股份有限公司期权做市商业务交易策略及风险管理方案目录1期权主要风险描述...................................................................................................................41.1delta风险.................................................................

2、....................................................41.2gamma风险..................................................................................................................51.3Theta风险........................................................................................

3、............................51.4Vega风险......................................................................................................................71.5Rho风险...............................................................................................................

4、........71.6Skew风险.....................................................................................................................71.7基差风险.......................................................................................................................81.8跨期vega风险..

5、...........................................................................................................81.9其它市场风险...............................................................................................................92期权组合持仓概述......................................

6、...........................................................................102.1期权持仓组合类型.....................................................................................................102.2组合持仓风险概述..........................................................................

7、...........................102.3有限风险和无限风险.................................................................................................112.4各类组合的Greeks特征............................................................................................133对报价价格产生影响的各因素分析..........

8、....................................................................