earticle

영어

In order to avoid the risk caused by continuously changing option value, option issuers generally utilize the traditional Dynamic Delta Hedging (DDH) method. DDH tries to maintain risk-neutral position by adjusting hedge position according to the delta by Black-Scholes (BS) model. DDH, however, is not able to guarantee optimal hedging performance due to some impractical assumptions inherent in BS model. Therefore, this study presents a methodology for dynamic option hedging strategy using artificial neural network (ANN) to enhance hedging performance and shows the superiority of the proposed method through computational experiments.