决定外汇期权波动率微笑的经济因素

发布时间：2018-03-19 03:22

本文选题：波动率微笑　切入点：英镑期权　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：有很多文章从不同方面研究波动率微笑现象,一类通过放松Black-Scholes模型中对标的资产价格分布的假设来解释波动率微笑现象；另一类直接探讨决定波动率微笑的经济因素。除了Gudhus(2003)的文章,没有其它文献直接对外汇期权市场进行研究,并探讨决定该市场微笑曲线形状的经济因素。而且Gudhus的文章只对波动率微笑的偏斜度进行了研究,并未对其峰态展开讨论。外汇期权主要在场外市场交易,该市场具有其独特的特征,所以对主要在场内交易的股票期权等市场波动率微笑的研究不能直接应用到外汇期权中。而外汇期权广泛用于外汇的套期保值和风险管理,所以对该市场波动率微笑现象的研究具有重大意义。本文对外汇期权市场进行研究,探讨决定该市场微笑曲线形状的经济因素。选取的是2000年1月至2012年6月英镑期权日报价数据,不仅探讨微笑曲线的偏斜度也就是风险逆转指标的成因,同时对其峰态即蝴蝶差进行了研究。利用英镑兑美元期权的日报价数据,剖析波动率微笑曲线的形态,研究决定其形态的经济因素,并讨论这些经济变量是否对微笑曲线的形态具有预测能力。或者反过来,刻画微笑曲线形态的变量即风险逆转指标和蝴蝶差是否对相应经济变量具有预测能力。通过对英镑期权的研究,发现其波动率曲线呈现出明显的微笑形态,且其形态随时间动态变化。向量自回归模型的结果证实,平价期权的波动率和英镑即期汇率的长短期变化趋势变量能够用于预测微笑曲线的斜率和曲率变量,但英镑即期汇率的长期和短期变化趋势对两者的影响是不同的。同时微笑曲线的斜率和曲率变量包含预测英镑收益率和英镑即期汇率的长短期变化趋势变量的重要信息。这就提供了从外汇期权的角度研究汇率走势的实证依据。
[Abstract]:There are many articles to study the phenomenon of volatility smile from different aspects. One is to explain the phenomenon of volatility smile by loosening the assumption of underlying asset price distribution in Black-Scholes model. Another type of direct study of the economic factors that determine volatility smile. Except for the Gudhus-2003 article, there is no other literature that studies the foreign exchange options market directly. And the economic factors that determine the shape of smile curve in this market are discussed. Moreover, Gudhus's paper only studies the skewness of volatility smile, not its peak state. Foreign exchange options are mainly traded in the over-the-counter market. The market has its unique characteristics, so the research on volatility smile, such as stock options mainly traded on the exchange, can not be directly applied to foreign exchange options, which are widely used in foreign exchange hedging and risk management. Therefore, it is of great significance to study the market volatility smile phenomenon. This paper studies the foreign exchange option market and discusses the economic factors that determine the shape of the smile curve of the market. The daily quotation data of sterling options from January 2000 to June 2012 are selected. Not only the skew degree of smile curve is the cause of risk reversal index, but also the butterfly difference is studied. Using the daily quotation data of sterling / dollar option, the paper analyzes the shape of the smile curve of volatility. Study the economic factors that determine its shape and discuss whether these variables are predictive of the shape of the smile curve. Or vice versa, Whether the variables that describe the shape of smile curve, namely risk reversal index and butterfly difference, can predict the corresponding economic variables. Based on the study of sterling option, it is found that the volatility curve of sterling has obvious smile shape, and its shape changes with time. The result of vector autoregressive model proves that, The volatility of parity options and the trend variables of short and long term changes in the spot exchange rate of sterling can be used to predict the slope and curvature variables of the smile curve. At the same time, the slope and curvature variables of the smile curve include the weight of the long-term and short-term trend variables that predict the yield of the pound and the spot exchange rate of the pound. This provides an empirical basis for the study of exchange rate movements from the perspective of foreign exchange options.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.52;F224

【引证文献】