本文選題：波動率指數(shù)期權(quán)　切入點(diǎn)：GARCH期權(quán)評價模型　出處：《上海師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：美國芝加哥期權(quán)交易所自1993年編制VIX指數(shù)以來,開創(chuàng)了波動率指數(shù)及其衍生品創(chuàng)新的先河,為金融衍生品的創(chuàng)新發(fā)展提供了一條“指數(shù)期權(quán)到波動率指數(shù)再到波動率指數(shù)期貨、期權(quán)”的成功發(fā)展路徑,目前已成為金融衍生品市場普遍認(rèn)同并且競相借鑒的發(fā)展模式。2015年2月9日上海證券交易所推出50ETF期權(quán),標(biāo)志著中國期權(quán)時代的到來,隨即推出了根據(jù)50ETF期權(quán)合約計(jì)算的波動率指數(shù)——iVIX。順應(yīng)衍生品市場創(chuàng)新的必要性和時代性的要求,推出波動率指數(shù)期權(quán)作為危機(jī)時的避險工具,是我國當(dāng)前資本市場發(fā)展的必然趨勢。本文旨在借鑒美國VIX期權(quán)的發(fā)展經(jīng)驗(yàn),對比iVIX的市場效應(yīng),模擬構(gòu)建iVIX期權(quán)避險性效果,分析差異成因并提出建議對策。本文主要采用比較研究法與實(shí)證研究法,包括中美兩國波動率指數(shù)特征及有效性的比較,探討iVIX市場效應(yīng)弱于VIX指數(shù);波動率指數(shù)衍生品和傳統(tǒng)工具在危機(jī)時期避險作用的對比,驗(yàn)證VIX期權(quán)具有危機(jī)風(fēng)險管理效果。實(shí)證研究方法主要采用GARCH(1,1)模型,模擬iVIX的隱含波動率,為構(gòu)建GARCH期權(quán)評價模型實(shí)現(xiàn)iVIX期權(quán)定價,同時利用iVIX期權(quán)定價模擬Delta固定避險帶策略,論證其具有一定避險效果,上述差異主要受中國市場非理性行為的影響,分析非理性行為成因。提出構(gòu)建波動率指數(shù)期權(quán)建議對策,為我國真正推出波動率指數(shù)期權(quán)提供參考。
[Abstract]:Since the VIX index was compiled by Chicago option Exchange in 1993, it has created the first innovation of volatility index and its derivatives, which provides a "index option to volatility index to volatility index futures" for the innovation and development of financial derivatives. At present, the successful development path of option has become a development mode that is generally accepted and used for reference by the financial derivatives market. In February 9th 2015, the Shanghai Stock Exchange launched 50ETF option, which marks the arrival of the Chinese option era. Then, the volatility index based on the 50ETF option contract, iVIX. which conforms to the necessity of innovation in derivatives market and the requirement of the times, is put forward, and the volatility index option is used as a hedge tool in times of crisis. The purpose of this paper is to draw lessons from the experience of the development of American VIX options, compare the market effects of iVIX, and simulate the effect of constructing iVIX options to avoid risk. This paper mainly adopts comparative research method and empirical research method, including the comparison of the characteristics and effectiveness of volatility index between China and the United States, and discusses that the market effect of iVIX is weaker than that of VIX index. The comparison between volatility index derivatives and traditional instruments in the crisis period verifies that VIX options have the effect of crisis risk management. The empirical research method mainly adopts the GARCHG 1 / 1) model to simulate the implied volatility of iVIX. In order to construct GARCH option evaluation model to realize iVIX option pricing, iVIX option pricing is used to simulate Delta fixed hedge strategy to prove that it has certain hedging effect. The above differences are mainly affected by irrational behavior in Chinese market. This paper analyzes the causes of irrational behavior and puts forward some suggestions on how to construct volatility index options, which can provide a reference for the introduction of volatility index options in China.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5;F837.12

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