中国波动率指数期权创新及美国经验借鉴研究

发布时间：2018-03-21 13:07

本文选题：波动率指数期权　切入点：GARCH期权评价模型　出处：《上海师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：美国芝加哥期权交易所自1993年编制VIX指数以来,开创了波动率指数及其衍生品创新的先河,为金融衍生品的创新发展提供了一条“指数期权到波动率指数再到波动率指数期货、期权”的成功发展路径,目前已成为金融衍生品市场普遍认同并且竞相借鉴的发展模式。2015年2月9日上海证券交易所推出50ETF期权,标志着中国期权时代的到来,随即推出了根据50ETF期权合约计算的波动率指数——iVIX。顺应衍生品市场创新的必要性和时代性的要求,推出波动率指数期权作为危机时的避险工具,是我国当前资本市场发展的必然趋势。本文旨在借鉴美国VIX期权的发展经验,对比iVIX的市场效应,模拟构建iVIX期权避险性效果,分析差异成因并提出建议对策。本文主要采用比较研究法与实证研究法,包括中美两国波动率指数特征及有效性的比较,探讨iVIX市场效应弱于VIX指数;波动率指数衍生品和传统工具在危机时期避险作用的对比,验证VIX期权具有危机风险管理效果。实证研究方法主要采用GARCH(1,1)模型,模拟iVIX的隐含波动率,为构建GARCH期权评价模型实现iVIX期权定价,同时利用iVIX期权定价模拟Delta固定避险带策略,论证其具有一定避险效果,上述差异主要受中国市场非理性行为的影响,分析非理性行为成因。提出构建波动率指数期权建议对策,为我国真正推出波动率指数期权提供参考。
[Abstract]:Since the VIX index was compiled by Chicago option Exchange in 1993, it has created the first innovation of volatility index and its derivatives, which provides a "index option to volatility index to volatility index futures" for the innovation and development of financial derivatives. At present, the successful development path of option has become a development mode that is generally accepted and used for reference by the financial derivatives market. In February 9th 2015, the Shanghai Stock Exchange launched 50ETF option, which marks the arrival of the Chinese option era. Then, the volatility index based on the 50ETF option contract, iVIX. which conforms to the necessity of innovation in derivatives market and the requirement of the times, is put forward, and the volatility index option is used as a hedge tool in times of crisis. The purpose of this paper is to draw lessons from the experience of the development of American VIX options, compare the market effects of iVIX, and simulate the effect of constructing iVIX options to avoid risk. This paper mainly adopts comparative research method and empirical research method, including the comparison of the characteristics and effectiveness of volatility index between China and the United States, and discusses that the market effect of iVIX is weaker than that of VIX index. The comparison between volatility index derivatives and traditional instruments in the crisis period verifies that VIX options have the effect of crisis risk management. The empirical research method mainly adopts the GARCHG 1 / 1) model to simulate the implied volatility of iVIX. In order to construct GARCH option evaluation model to realize iVIX option pricing, iVIX option pricing is used to simulate Delta fixed hedge strategy to prove that it has certain hedging effect. The above differences are mainly affected by irrational behavior in Chinese market. This paper analyzes the causes of irrational behavior and puts forward some suggestions on how to construct volatility index options, which can provide a reference for the introduction of volatility index options in China.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F837.12

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