基于银行视角的人民币外汇波动率曲面实证分析

发布时间：2018-08-16 18:56

【摘要】：交易量快速上升的人民币外汇期权,已经成为企业和商业银行管理风险的重要工具。文章在国内相关研究中,首次利用实际成交期权交易1年期限波动率数据对SABR模型进行校准,通过ATM波动率与远期汇率最小二乘法回归,构建最小误差函数并通过Levenberg-Marquardt Mehtod进行近似,并改进求解SABR模型波动率方程初始值的一元三次方程的结构,获取基于人民币期权交易数据校准的SABR模型参数,产生相应波动率曲线,并通过样本数据进行套利分析。此外,研究表明SABR模型在历史数据后验测试中具有更好的拟合效果,通过偏Delta样本数据后验检验表明,相比三次样条的外推,客户远期价格与波动率相关方程的SABR模型在刻画期权的Delta粘性和行权价粘性特征上更具优势,从而为商业银行、工商企业等提供灵活有效的套期保值工具。
[Abstract]:RMB foreign exchange options, which trade volume rises rapidly, have become an important tool for enterprises and commercial banks to manage risks. In this paper, the SABR model is calibrated for the first time by using the data of actual transaction option trading one-year term volatility, and the regression between ATM volatility and forward exchange rate least square method is adopted. The minimum error function is constructed and approximated by Levenberg-Marquardt Mehtod, and the structure of cubic equation is improved to solve the initial value of volatility equation of SABR model. The parameters of SABR model calibrated based on RMB option trading data are obtained, and the corresponding volatility curve is generated. And carry on arbitrage analysis through sample data. In addition, the research shows that the SABR model has better fitting effect in the historical data posteriori test. The result of the partial Delta sample data posteriori test shows that compared with the cubic spline extrapolation, The SABR model of customer forward price and volatility correlation equation has more advantages in characterizing the Delta stickiness of options and the stickiness of exercise price, thus providing flexible and effective hedging tools for commercial banks, industrial and commercial enterprises and so on.
【作者单位】：安徽经济管理干部学院国际贸易系;
【基金】：安徽省社会科学创新发展重大研究项目(2017ZD002)
【分类号】：F832.6

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