Especially, when we consider conditional heteroscedasticity during the hedging simulation, we use the method of EWMA which represent the volatility smile and is often used in calculating the VAR.

• 特别是,在利用该期权合约对上证指数基金模拟套期保值时考虑到异方差性,本文将利用指数滑动平均模型来度量市场波动率,体现了“波动率微笑效应”,模拟结果达到了良好的效果。