發(fā)布時(shí)間：2018-03-19 03:22

  本文選題：波動(dòng)率微笑　切入點(diǎn)：英鎊期權(quán)　出處：《廈門(mén)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：有很多文章從不同方面研究波動(dòng)率微笑現(xiàn)象,一類通過(guò)放松Black-Scholes模型中對(duì)標(biāo)的資產(chǎn)價(jià)格分布的假設(shè)來(lái)解釋波動(dòng)率微笑現(xiàn)象；另一類直接探討決定波動(dòng)率微笑的經(jīng)濟(jì)因素。除了Gudhus(2003)的文章,沒(méi)有其它文獻(xiàn)直接對(duì)外匯期權(quán)市場(chǎng)進(jìn)行研究,并探討決定該市場(chǎng)微笑曲線形狀的經(jīng)濟(jì)因素。而且Gudhus的文章只對(duì)波動(dòng)率微笑的偏斜度進(jìn)行了研究,并未對(duì)其峰態(tài)展開(kāi)討論。外匯期權(quán)主要在場(chǎng)外市場(chǎng)交易,該市場(chǎng)具有其獨(dú)特的特征,所以對(duì)主要在場(chǎng)內(nèi)交易的股票期權(quán)等市場(chǎng)波動(dòng)率微笑的研究不能直接應(yīng)用到外匯期權(quán)中。而外匯期權(quán)廣泛用于外匯的套期保值和風(fēng)險(xiǎn)管理,所以對(duì)該市場(chǎng)波動(dòng)率微笑現(xiàn)象的研究具有重大意義。 本文對(duì)外匯期權(quán)市場(chǎng)進(jìn)行研究,探討決定該市場(chǎng)微笑曲線形狀的經(jīng)濟(jì)因素。選取的是2000年1月至2012年6月英鎊期權(quán)日?qǐng)?bào)價(jià)數(shù)據(jù),不僅探討微笑曲線的偏斜度也就是風(fēng)險(xiǎn)逆轉(zhuǎn)指標(biāo)的成因,同時(shí)對(duì)其峰態(tài)即蝴蝶差進(jìn)行了研究。利用英鎊兌美元期權(quán)的日?qǐng)?bào)價(jià)數(shù)據(jù),剖析波動(dòng)率微笑曲線的形態(tài),研究決定其形態(tài)的經(jīng)濟(jì)因素,并討論這些經(jīng)濟(jì)變量是否對(duì)微笑曲線的形態(tài)具有預(yù)測(cè)能力�；蛘叻催^(guò)來(lái),刻畫(huà)微笑曲線形態(tài)的變量即風(fēng)險(xiǎn)逆轉(zhuǎn)指標(biāo)和蝴蝶差是否對(duì)相應(yīng)經(jīng)濟(jì)變量具有預(yù)測(cè)能力。 通過(guò)對(duì)英鎊期權(quán)的研究,發(fā)現(xiàn)其波動(dòng)率曲線呈現(xiàn)出明顯的微笑形態(tài),且其形態(tài)隨時(shí)間動(dòng)態(tài)變化。向量自回歸模型的結(jié)果證實(shí),平價(jià)期權(quán)的波動(dòng)率和英鎊即期匯率的長(zhǎng)短期變化趨勢(shì)變量能夠用于預(yù)測(cè)微笑曲線的斜率和曲率變量,但英鎊即期匯率的長(zhǎng)期和短期變化趨勢(shì)對(duì)兩者的影響是不同的。同時(shí)微笑曲線的斜率和曲率變量包含預(yù)測(cè)英鎊收益率和英鎊即期匯率的長(zhǎng)短期變化趨勢(shì)變量的重要信息。這就提供了從外匯期權(quán)的角度研究匯率走勢(shì)的實(shí)證依據(jù)。
[Abstract]:There are many articles to study the phenomenon of volatility smile from different aspects. One is to explain the phenomenon of volatility smile by loosening the assumption of underlying asset price distribution in Black-Scholes model. Another type of direct study of the economic factors that determine volatility smile. Except for the Gudhus-2003 article, there is no other literature that studies the foreign exchange options market directly. And the economic factors that determine the shape of smile curve in this market are discussed. Moreover, Gudhus's paper only studies the skewness of volatility smile, not its peak state. Foreign exchange options are mainly traded in the over-the-counter market. The market has its unique characteristics, so the research on volatility smile, such as stock options mainly traded on the exchange, can not be directly applied to foreign exchange options, which are widely used in foreign exchange hedging and risk management. Therefore, it is of great significance to study the market volatility smile phenomenon. This paper studies the foreign exchange option market and discusses the economic factors that determine the shape of the smile curve of the market. The daily quotation data of sterling options from January 2000 to June 2012 are selected. Not only the skew degree of smile curve is the cause of risk reversal index, but also the butterfly difference is studied. Using the daily quotation data of sterling / dollar option, the paper analyzes the shape of the smile curve of volatility. Study the economic factors that determine its shape and discuss whether these variables are predictive of the shape of the smile curve. Or vice versa, Whether the variables that describe the shape of smile curve, namely risk reversal index and butterfly difference, can predict the corresponding economic variables. Based on the study of sterling option, it is found that the volatility curve of sterling has obvious smile shape, and its shape changes with time. The result of vector autoregressive model proves that, The volatility of parity options and the trend variables of short and long term changes in the spot exchange rate of sterling can be used to predict the slope and curvature variables of the smile curve. At the same time, the slope and curvature variables of the smile curve include the weight of the long-term and short-term trend variables that predict the yield of the pound and the spot exchange rate of the pound. This provides an empirical basis for the study of exchange rate movements from the perspective of foreign exchange options.
【學(xué)位授予單位】：廈門(mén)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.52;F224

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 羅斌;;外匯期權(quán)交易投資理財(cái)風(fēng)險(xiǎn)及盈利分析[J];中小企業(yè)管理與科技(下旬刊);2015年08期

，

本文編號(hào)：1632612