本篇論文集中論述了人民幣外匯期權。更精確的說,論文重點放在日益興起的人民幣離岸市場,也叫做CNH。由于境外投資者通過在岸人民幣市場投資受到嚴重管制,而境外風險管理與交易對人民幣的需求很高,人民幣離岸市場在2010年創(chuàng)建之后得到了飛速發(fā)展。本篇論文中,我們測試了三種常見的期權定價模型在人民幣外匯期權上的定價效果和套期保值效果,這三種模型分別是布萊克-斯科爾斯模型,赫斯頓模型以及貝茨模型。為了估算模型的參數(shù),首先,我們提取彭博提供的香草期權場外市場交易的日度報價數(shù)據(jù)；然后通過執(zhí)行樣本外測試,來觀察校準模型對香草期權波動結構的模擬程度；最后我們使用蒙特卡洛模擬方法,測試了三種模型在一種廣為交易的奇異期權——障礙期權上的的套期保值效果。三種套期保值策略都在不同的障礙水平以及期限上測試了其相應的效果。通過比較三種模型的定價與套期保值效果,我們發(fā)現(xiàn),對于香草期權的定價,隨機波動模型比布萊克-斯科爾斯模型效果好,定價也更加準確。更確切的說,赫斯頓模型靜態(tài)表現(xiàn)最好,但在動態(tài)特征方面,赫斯頓模型與貝茨模型表現(xiàn)相同�？傮w來講,對于期限較短的期權,赫斯頓模型比貝茨模型效果好；但對于期限較長的期權,赫斯頓模型... 

【文章來源】：上海交通大學上海市 211工程院校 985工程院校 教育部直屬院校

【文章頁數(shù)】：72 頁

【學位級別】：碩士

【文章目錄】：
Abstract
摘要
1 Introduction
    1.1 Background
    1.2 Literature Review
        1.2.1 Existing literature
        1.2.2 Gap in the literature
    1.3 Problem formulation and structure overview
2 FX options market
    2.1 FX options market in the world
    2.2 FX options market in Asia
    2.3 FX options market in China
        2.3.1 CNY market vs CNH market
        2.3.2 A complex FX options market
        2.3.3 The take-off of CNH options
3 Pricing and hedging FX options under stochastic volatility
    3.1 The Black-Scholes model
        3.1.1 Description of the model
        3.1.2 Assumptions of the model vs Empirical facts
        3.1.3 Pricing of vanilla options
    3.2 Needs for better pricing and hedging models
    3.3 Stochastic volatility models at a glance
    3.4 The Heston model
        3.4.1 Description of the model
        3.4.2 Assumptions of the model vs Empirical facts
        3.4.3 Pricing of vanilla options
    3.5 The Bates model
        3.5.1 Description of the model
        3.5.2 Assumptions of the model vs Empirical facts
        3.5.3 Pricing of vanilla options
4 Data set
    4.1 Historical exchange rates
    4.2 Risk-free rates
    4.3 Options prices and implied volatility
        4.3.1 FX option market quotations
        4.3.2 Retrieving option prices and strikes from quotes
    4.4 Testing period
    4.5 Utilization of the sample
5 Calibration of the models
    5.1 Purpose of the calibration
        5.1.1 Calibrating the Black Scholes model
        5.1.2 Calibrating the Heston model and the Bates model
    5.2 Calibration procedure
        5.2.1 Objective function
        5.2.2 Optimization algorithm
    5.3 Results of the calibration
        5.3.1 Parameters
        5.3.2 Goodness of fit
    5.4 Out-of-sample test
    5.5 From empirical findings to trading perspectives
6 Simulation
    6.1 Simulating the Black-Scholes model
    6.2 Simulating the Heston model
    6.3 Simulating the Bates model
    6.4 Distribution of the returns
7 Hedging effectiveness
    7.1 Selection of target options
        7.1.1 Description
        7.1.2 Options parameters
    7.2 Selection of hedging strategies
        7.2.1 Sources of risks hedged
        7.2.2 Hedging instruments
        7.2.3 Measure of the effectiveness of the strategies
    7.3 Test results
        7.3.1 Comparative analysis of the pricing models
        7.3.2 Comparative analysis of the hedging strategies
    7.4 From empirical findings to trading perspectives
8 Conclusion
9 Bibliography
10 Acknowledgements
11 Appendix
    11.1 Calibration of the models - MATLAB code
        11.1.1 Black-Scholes model
        11.1.2 Heston model
        11.1.3 Bates model
    11.2 Monte Carlo simulation - MATLAB code
        11.2.1 Pricing of barrier options
        11.2.2 Simulation of the Black-Scholes model
        11.2.3 Simulation of the Heston model
        11.2.4 Simulation of the Bates model



本文編號：3009213