中文摘要：

应用随机模型预测控制方法研究了欧式期权的动态对冲问题，该方法能够灵活选择适合的目标函数、股票价格预测模型以及显式处理交易费用约束。通过蒙特卡洛仿真对基于随机模型预测控制的对冲方法和deha对冲方法的效果进行了对比分析，并且对华夏上证50ETF期权合约进行了实证检验，检验结果表明了基于随机模型预测控制的对冲方法的有效性。

英文摘要：

Stochastic model predictive control （SMPC） is used to study the problem of dynamic hedging European option. SMPC has the flexibility to choose the appropriate objective function and the stock price forecasting model, as well as the advantages of explicitly handling transaction costs constraints. The effect of SMPC hedging and delta hedging are compared by Monte Carlo simulation and an empirical analysis of Shanghai Stock Exchange 50 ETF op- tion. The test results show the effectiveness of SMPC.