發(fā)布時間：2018-04-26 17:37

  本文選題：期權做市商 + 動態(tài)隱含波動率�。� 參考：《浙江大學》2016年博士論文

【摘要】：期權在金融市場中占據(jù)重要地位,從國際經驗來看,期權和期貨、現(xiàn)貨作為場內市場的基礎產品,互相配合,構建起較為完整的場內風險管理體系。2015年2月9日,上證50ETF期權正式上線,研究期權定價及其相關問題對我國金融市場的發(fā)展與完善有重要意義。我國期權市場處于發(fā)展的初期,雖然前期準備工作豐富,但是,加強從業(yè)人員理論與業(yè)務水平、進一步深入投資者教育任重道遠。寫這篇博士論文的目的并不僅僅在于總結本人博士期間的研究成果,而是希望對波動率曲面建模的發(fā)展歷程做一個系統(tǒng)性的總結,為致力于促進衍生品市場發(fā)展或對衍生品交易感興趣的各界人士提供一個理論參考。波動率曲面是研究衍生品定價、交易和風險控制的重中之重,一方面,通過Black-Scholes公式它與期權報價有一一對應的關系,被業(yè)界工作者廣泛的用于衡量期權價格水平；另一方面,它是建立場內衍生品和場外衍生品關系的橋梁。每個模型的初衷是什么?為什么要做這樣的假設或改進?模型存在哪些優(yōu)點與不足?這都是本文要考察的問題。Black-Scholes模型奠定了現(xiàn)代期權定價理論的基石,它促進了期權市場及衍生品定價理論的發(fā)展。然而Black-Scholes模型的常數(shù)隱含波動率假設與市場上實際觀測到的“隱含波動率曲面”現(xiàn)象不符,促使后續(xù)研究者們尋找能更合理刻畫隱含波動率曲面現(xiàn)象的模型,如隨機波動率模型、跳擴散模型、局部波動率模型等。諸多經驗研究表明,隱含波動率會隨時間動態(tài)變化,這些模型的參數(shù)不穩(wěn)定,在描述隱含波動率曲面的動態(tài)變化上有缺陷,為與動態(tài)波隱含動率模型區(qū)分,我們稱之為“靜態(tài)隱含波動率模型”。為描述隱含波動率隨時間變化的動態(tài)特征,一些學者提出了“動態(tài)隱含波動率模型”,直接對隱含波動率動態(tài)進行建模,力圖在擬合隱含波動率曲面在某一時刻的形態(tài)的同時,刻畫隱含波動率曲面隨著時間的變化規(guī)律。隱含波動率曲面是研究期權定價、風險管理以及交易策略的核心,同時也是連接場內衍生品市場與場外衍生品市場的媒介。從場內做市商的角度來看,模型的定價誤差越小越好,模型價格最好能在市場買賣價差的范圍之內,因為做市商要跟隨市場觀點、很少違背市場。從場外衍生品的定價和對沖角度來看,定價模型應盡量精確的擬合場內期權波動率曲面,使得場內衍生品和場外衍生品在統(tǒng)一的框架下定價,避免套利機會的形成。本文從場內期權做市商的角度,研究期權隱含波動率曲面的構建問題。本文所做的工作主要有：1.總結了構建隱含波動率曲面的五大類方法,通過對比不同模型的擬合精度、計算速度、理論背景、參數(shù)穩(wěn)定度,分析使用不同模型作為做市商插值模型刻畫單一時刻隱含波動率曲面的合理性。2.詳細闡述了構建波動率曲面時涉及的實際問題與解決方案；改進SABR模型、SVI參數(shù)化形式的參數(shù)優(yōu)化過程,提高計算速度和模型參數(shù)的穩(wěn)定性。在黃金ETF期權日內交易數(shù)據(jù)上測試了SABR模型和SVI模型的參數(shù)穩(wěn)定性,說明了構建動態(tài)隱含波動率模型的必要性。3.深入研究動態(tài)隱含波動率模型,介紹了現(xiàn)存的三種隱含波動率曲面動態(tài)建模方法,并分析了他們的缺陷,包括：基于市場的(market-based)動態(tài)隱含波動率模型、Vega-Gamma-Vanna-Volga模型、基于因子的(factor-based)動態(tài)隱含波動率模型。本文提出了一般化動態(tài)隱含波動率因子模型,可用于刻畫整個波動率曲線或曲面的動態(tài)。并引入無損卡爾曼濾波(unscented Kalman filter)解決了非線性系統(tǒng)的優(yōu)化問題,提供了估計模型參數(shù)和預測未來隱含波動率曲面的有效方法。4.用標準普爾500指數(shù)期權隱含波動率日內數(shù)據(jù)做實證分析,檢測了一般化動態(tài)隱含波動率因子模型的參數(shù)估計和預測效果；對比了靜態(tài)模型、其他動態(tài)隱含波動率模型；驗證了基于因子的一般化動態(tài)隱含波動率模型的理論和實證意義。
[Abstract]:Option plays an important role in the financial market. From the international experience, options and futures, spot as the base products of the field market, cooperate with each other to build a more integrated field risk management system in February 9th.2015, Shanghai Stock 50ETF option is formally launched, and research options pricing and related issues to the development of China's financial market and the development of the financial market It is of great significance. The option market in China is in the early stage of development. Although the preparatory work is rich in the early period, it is very difficult to strengthen the theory and business level of the practitioners and further deepen the education of investors. The purpose of writing this doctoral thesis is not only to summarize the research results of my blogger but to the volatility. A systematic summary of the development process of surface modeling is made to provide a theoretical reference for people of all walks of life who are interested in promoting the development of derivatives market or for derivatives trading. Volatility surface is the most important factor in the study of derivatives pricing, transaction and risk control. On the one hand, it has a Black-Scholes formula with the option price. One corresponding relationship is widely used by industry workers to measure the price level of options; on the other hand, it is a bridge to establish the relationship between field derivatives and OTC derivatives. What is the original intention of each model? Why do you want to make such a hypothesis or improvement? What are the advantages and disadvantages of the model? This is the question.Black-S The choles model establishes the cornerstone of the modern option pricing theory, which promotes the development of the option market and derivatives pricing theory. However, the constant implied volatility hypothesis of the Black-Scholes model is inconsistent with the "implied volatility surface" observed in the market, prompting the follow-up researchers to find a more reasonable description of the implied volatility. The model of rate surface phenomena, such as random wave rate model, jump diffusion model, local wave rate model, and so on. Many empirical studies show that the implied volatility will change dynamically with time, the parameters of these models are unstable, and the dynamic changes in the implied wave rate surface have a lack of subsidence, which is distinguished from the dynamic wave implicit dynamic model. In order to describe the dynamic characteristics of the implied volatility, some scholars have proposed a dynamic implicit volatility model to model the implicit volatility dynamics directly, and try to describe the implicit wave rate surface with time while the implicit wave rate surface is in the form of a certain time. The implicit volatility surface is the core of the option pricing, risk management and trading strategy, and it is also the medium to connect the market in the field and the OTC derivatives market. From the point of view of the market maker, the smaller the pricing error, the better the model price can be within the range of the market price difference. Because the market makers should follow the market view and rarely violate the market. From the point of view of the pricing and hedging of the OTC derivatives, the pricing model should be as accurate as possible to fit the volatility surface of the options, making the field derivatives and over-the-counter derivatives priced in a unified framework and avoiding the formation of the opportunity for the hedging. To study the construction of implied volatility surface of options. The main work of this paper is as follows: 1. the five kinds of methods for constructing implicit volatility surface are summarized. By comparing the fitting accuracy of different models, the calculation speed, the theoretical background, the parameter stability, and the analysis and use of different models as the market maker interpolation model, the single time is described. The rationality of implied volatility surface.2. elaborated the actual problems and solutions involved in the construction of wave rate surface, improved the parameter optimization process of SABR model, SVI parameterization, improved the calculation speed and the stability of the model parameters. The parameter stability of the SABR model and SVI model was tested on the day of transaction number of gold ETF option. Qualitatively, the necessity of Constructing Dynamic Implicit volatility model (.3.) is described in depth and the Dynamic Implicit volatility model is deeply studied. Three existing dynamic modeling methods of implicit volatility surface are introduced, and their defects are analyzed, including the market based (market-based) Dynamic Implicit volatility model, Vega-Gamma-Vanna-Volga model, and based on the market. The Dynamic Implicit volatility model of factor (factor-based). This paper presents a general dynamic implicit volatility factor model, which can be used to describe the dynamics of the whole wave rate curve or surface, and introduces the nondestructive Calman filter (unscented Kalman filter) to solve the optimization problem of nonlinear systems, and provides the estimation model parameters and prediction. The effective method to imply the volatility surface is an empirical analysis of the implicit volatility of the standard & Poor's 500 index option. The parameter estimation and prediction effect of the general dynamic implicit volatility factor model is detected, and the static model and other dynamic implicit volatility models are compared. The general dynamic implicit method based on the factor is verified. The theoretical and empirical significance of the volatility model.

【學位授予單位】：浙江大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F830.91;F224

【參考文獻】

相關期刊論文 前1條

1 陳蓉;呂愷;;隱含波動率曲面:建模與實證[J];金融研究;2010年08期

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本文編號：1806987