备兑权证已经成为中国金融市场上一种重要的投资品种,对其进行避险策略的研究至关重要,如备兑权证持证人和发行人面临的主要市场风险来源、风险管理策略和风险管理工具等。在避险策略的选择上,可采用间断避险策略中的Wilmott模型、Leland模型、delta区间避险策略和效用化策略等各种动态避险策略。判断避险策略优劣有两个重要指标:总损益指标和总VaR指标。各种避险策略VaR值对于以下因素有敏感性:对备兑权证折溢价程度、标的股票未来走势和波动性、股票和权证的流动性、存续期限以及避险间隔期。 Warrants have become an important investment product in China’s financial markets. It is crucial for them to conduct research on hedging strategies, such as the main sources of market risk, warranties and risks faced by warrant holders and issuers Management tools. In the choice of hedging strategy, various dynamic hedging strategies such as discontinuous hedging strategy Wilmott model, Leland model, delta interval hedging strategy and utility strategy can be adopted. Judging the merits of hedging strategy has two important indicators: total profit and loss indicators and total VaR indicators. The VaR values ​​for various hedging strategies are sensitive to the following: the premium to the rights to stand-by, the future movements and volatility of the underlying stock, the liquidity of stocks and warrants, the duration of the warrant, and the hedging interval.