随机波动模型在人民币外汇期权上的实证表现

发布时间：2021-01-30 16:26

　　本篇论文集中论述了人民币外汇期权。更精确的说,论文重点放在日益兴起的人民币离岸市场,也叫做CNH。由于境外投资者通过在岸人民币市场投资受到严重管制,而境外风险管理与交易对人民币的需求很高,人民币离岸市场在2010年创建之后得到了飞速发展。本篇论文中,我们测试了三种常见的期权定价模型在人民币外汇期权上的定价效果和套期保值效果,这三种模型分别是布莱克-斯科尔斯模型,赫斯顿模型以及贝茨模型。为了估算模型的参数,首先,我们提取彭博提供的香草期权场外市场交易的日度报价数据；然后通过执行样本外测试,来观察校准模型对香草期权波动结构的模拟程度；最后我们使用蒙特卡洛模拟方法,测试了三种模型在一种广为交易的奇异期权——障碍期权上的的套期保值效果。三种套期保值策略都在不同的障碍水平以及期限上测试了其相应的效果。通过比较三种模型的定价与套期保值效果,我们发现,对于香草期权的定价,随机波动模型比布莱克-斯科尔斯模型效果好,定价也更加准确。更确切的说,赫斯顿模型静态表现最好,但在动态特征方面,赫斯顿模型与贝茨模型表现相同。总体来讲,对于期限较短的期权,赫斯顿模型比贝茨模型效果好；但对于期限较长的期权,赫斯顿模型... 

【文章来源】：上海交通大学上海市 211工程院校 985工程院校 教育部直属院校

【文章页数】：72 页

【学位级别】：硕士

【文章目录】：
Abstract
摘要
1 Introduction
    1.1 Background
    1.2 Literature Review
        1.2.1 Existing literature
        1.2.2 Gap in the literature
    1.3 Problem formulation and structure overview
2 FX options market
    2.1 FX options market in the world
    2.2 FX options market in Asia
    2.3 FX options market in China
        2.3.1 CNY market vs CNH market
        2.3.2 A complex FX options market
        2.3.3 The take-off of CNH options
3 Pricing and hedging FX options under stochastic volatility
    3.1 The Black-Scholes model
        3.1.1 Description of the model
        3.1.2 Assumptions of the model vs Empirical facts
        3.1.3 Pricing of vanilla options
    3.2 Needs for better pricing and hedging models
    3.3 Stochastic volatility models at a glance
    3.4 The Heston model
        3.4.1 Description of the model
        3.4.2 Assumptions of the model vs Empirical facts
        3.4.3 Pricing of vanilla options
    3.5 The Bates model
        3.5.1 Description of the model
        3.5.2 Assumptions of the model vs Empirical facts
        3.5.3 Pricing of vanilla options
4 Data set
    4.1 Historical exchange rates
    4.2 Risk-free rates
    4.3 Options prices and implied volatility
        4.3.1 FX option market quotations
        4.3.2 Retrieving option prices and strikes from quotes
    4.4 Testing period
    4.5 Utilization of the sample
5 Calibration of the models
    5.1 Purpose of the calibration
        5.1.1 Calibrating the Black Scholes model
        5.1.2 Calibrating the Heston model and the Bates model
    5.2 Calibration procedure
        5.2.1 Objective function
        5.2.2 Optimization algorithm
    5.3 Results of the calibration
        5.3.1 Parameters
        5.3.2 Goodness of fit
    5.4 Out-of-sample test
    5.5 From empirical findings to trading perspectives
6 Simulation
    6.1 Simulating the Black-Scholes model
    6.2 Simulating the Heston model
    6.3 Simulating the Bates model
    6.4 Distribution of the returns
7 Hedging effectiveness
    7.1 Selection of target options
        7.1.1 Description
        7.1.2 Options parameters
    7.2 Selection of hedging strategies
        7.2.1 Sources of risks hedged
        7.2.2 Hedging instruments
        7.2.3 Measure of the effectiveness of the strategies
    7.3 Test results
        7.3.1 Comparative analysis of the pricing models
        7.3.2 Comparative analysis of the hedging strategies
    7.4 From empirical findings to trading perspectives
8 Conclusion
9 Bibliography
10 Acknowledgements
11 Appendix
    11.1 Calibration of the models - MATLAB code
        11.1.1 Black-Scholes model
        11.1.2 Heston model
        11.1.3 Bates model
    11.2 Monte Carlo simulation - MATLAB code
        11.2.1 Pricing of barrier options
        11.2.2 Simulation of the Black-Scholes model
        11.2.3 Simulation of the Heston model
        11.2.4 Simulation of the Bates model



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