本文關(guān)鍵詞：基于隱含波動(dòng)率曲面的期權(quán)套利策略研究　出處：《西安工業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 隱含波動(dòng)率曲面 在值程度 到期期限 期權(quán)套利策略

【摘要】：期權(quán)是一種重要的金融衍生工具,具有風(fēng)險(xiǎn)限制的天性和非線性損益結(jié)構(gòu),為投資者提供了有效的風(fēng)險(xiǎn)管理工具。波動(dòng)率套利是期權(quán)交易的一大特色,只要波動(dòng)率按照交易者的預(yù)期發(fā)生變動(dòng),那么交易者就可以在長期的重復(fù)交易中獲利。雖然市場(chǎng)中存在著著大量的波動(dòng)率套利策略,但是很少有交易者深入分析在不同套利策略中如何構(gòu)建最佳的期權(quán)組合。另一方面,波動(dòng)率套利離不開交易者對(duì)波動(dòng)率的準(zhǔn)確估計(jì),隱含波動(dòng)率被認(rèn)為是波動(dòng)率的較好近似。目前,我國學(xué)術(shù)界對(duì)隱含波動(dòng)率的研究還處于起步階段,研究成果也主要集中在隱含波動(dòng)率微笑成因或期限結(jié)構(gòu)特征上,而對(duì)隱含波動(dòng)率曲面研究明顯不足,不能更加深入地研究隱含波動(dòng)率的變化。在這樣的背景下,本文在總結(jié)和歸納前人研究成果的基礎(chǔ)上,嘗試解決了波動(dòng)率套利中的兩個(gè)問題:一個(gè)是套利策略中最佳的期權(quán)組合的選擇,另一個(gè)是如何更加科學(xué)、有效的估計(jì)波動(dòng)率。本文的研究可以分為三個(gè)部分,分別為理論基礎(chǔ)、隱含波動(dòng)率建模分析和套利策略的建立與檢驗(yàn)。(1)理論基礎(chǔ)部分,首先本文介紹了波動(dòng)率的一般理論,然后引出隱含波動(dòng)率的研究現(xiàn)狀,最后對(duì)隱含波動(dòng)率曲面的概念和模型進(jìn)行了界定和說明。(2)隱含波動(dòng)率建模分析部分,是本文研究貢獻(xiàn)和創(chuàng)新部分。本文的創(chuàng)新點(diǎn)主要有:第一,在前人的隱含波動(dòng)率參數(shù)模型中,隱含波動(dòng)率被表示為執(zhí)行價(jià)格和到期期限的線性函數(shù),但是沒有考慮資金的時(shí)間價(jià)值。因此,本文一方面用在值程度代替執(zhí)行價(jià)格,另一方面對(duì)隱含波動(dòng)率模型的表達(dá)方式進(jìn)行了改變,將其表示為在值程度和到期日比值的函數(shù)。第二,僅僅研究每個(gè)隱含波動(dòng)率的隨機(jī)過程并不能有效解決波動(dòng)率估計(jì)的問題,因此本文又對(duì)參數(shù)間的相關(guān)關(guān)系進(jìn)行了研究,將VAR模型引入到了隱含波動(dòng)率曲面建模分析中。本文利用兩步法構(gòu)建了隱含波動(dòng)率曲面模型:首先在隱含波動(dòng)率參數(shù)模型實(shí)證分析的基礎(chǔ)上,用VAR模型刻畫了參數(shù)間的動(dòng)態(tài)關(guān)系,然后建立了由隱含波動(dòng)率參數(shù)模型和兩變量VAR(2)模型組成的隱含波動(dòng)率曲面模型。實(shí)證分析顯示,改進(jìn)后的隱含波動(dòng)率參數(shù)模型對(duì)上證50ETF看跌期權(quán)具有較好的估計(jì)績效。(3)套利策略的建立與檢驗(yàn)。在這一部分,本文梳理了波動(dòng)率套利的基本原理。為了捕捉交易信號(hào),本文引入了布林軌道。當(dāng)中軌突破上軌或下軌視為波動(dòng)率產(chǎn)生異常,可以進(jìn)場(chǎng)交易波動(dòng)率�？缡教桌呗缘奶桌Y(jié)果表明,在該套利行為中套利策略是成功且有效的。通過研究,本文嘗試給出了套利策略,并得到了一個(gè)穩(wěn)定的隱含波動(dòng)率曲面模型。這不僅為交易者構(gòu)建套利策略提供了有益參考,還有利于推進(jìn)隱含波動(dòng)率曲面的相關(guān)研究,具有一定的現(xiàn)實(shí)意義和理論意義。
[Abstract]:Option is an important financial derivative, with the nature of risk limitation and nonlinear profit and loss structure, which provides an effective risk management tool for investors. Volatility arbitrage is a major feature of option trading. As long as the volatility changes according to the expectation of the trader, the trader can profit from the repeated trading for a long time, although there is a large number of volatility arbitrage strategies in the market. However, few traders deeply analyze how to construct the best option combination in different arbitrage strategies. On the other hand, volatility arbitrage depends on the accurate estimation of volatility. Implicit volatility is considered to be a good approximation of volatility. At present, the research of implied volatility in Chinese academia is still in its infancy. The research results also mainly focus on the cause of implied volatility smile or term structure characteristics, but the implicit volatility surface research is obviously inadequate, can not be more in-depth study of the change of implied volatility. In this context. On the basis of summarizing and summarizing the previous research results, this paper tries to solve two problems in volatility arbitrage: one is the choice of the best option combination in the arbitrage strategy, the other is how to be more scientific. Effective volatility estimation. This paper can be divided into three parts: theoretical basis, implicit volatility modeling analysis and arbitrage strategy establishment and testing. First, this paper introduces the general theory of volatility, and then leads to the current situation of implicit volatility. Finally, the concept and model of implied volatility surface are defined and explained. The part of modeling and analysis of implied volatility is the contribution and innovation part of this paper. The main innovations of this paper are as follows: first. In the previous implicit volatility parameter model, implicit volatility is expressed as a linear function of price and maturity, but the time value of capital is not considered. In this paper, on the one hand, we use the degree of value to replace the executive price, on the other hand, we change the expression of implied volatility model, and express it as a function of the ratio of value to maturity. The problem of volatility estimation can not be effectively solved by studying each stochastic process of implied volatility. Therefore, the correlation between parameters is studied in this paper. The VAR model is introduced into the modeling and analysis of implied volatility surface. In this paper, the implicit volatility surface model is constructed by using two-step method: firstly, the empirical analysis of implicit volatility parameter model is carried out. The dynamic relationship between parameters is described by using VAR model, and then an implicit volatility surface model is established, which is composed of implicit volatility parameter model and two-variable VAR2) model. The improved implied volatility parameter model has a better estimate of the performance of the 50ETF put option in Shanghai stock market. (3) the establishment and test of arbitrage strategy. In this part. In this paper, the basic principle of volatility arbitrage is combed. In order to capture the transaction signal, the Brin orbit is introduced. When the middle orbit breaks through the upper or lower orbit, the volatility is considered to be abnormal. The arbitrage results of the cross-arbitrage strategy show that the arbitrage strategy is successful and effective in the arbitrage behavior. Through the research, this paper tries to give the arbitrage strategy. A stable implicit volatility surface model is obtained, which not only provides a useful reference for traders to construct arbitrage strategy, but also contributes to the research of implicit volatility surface. Has certain realistic significance and the theory significance.
【學(xué)位授予單位】：西安工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F724.5

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本文編號(hào)：1411580