基于隐含波动率曲面的期权套利策略研究

发布时间：2018-01-11 23:01

本文关键词：基于隐含波动率曲面的期权套利策略研究　出处：《西安工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：期权是一种重要的金融衍生工具,具有风险限制的天性和非线性损益结构,为投资者提供了有效的风险管理工具。波动率套利是期权交易的一大特色,只要波动率按照交易者的预期发生变动,那么交易者就可以在长期的重复交易中获利。虽然市场中存在着着大量的波动率套利策略,但是很少有交易者深入分析在不同套利策略中如何构建最佳的期权组合。另一方面,波动率套利离不开交易者对波动率的准确估计,隐含波动率被认为是波动率的较好近似。目前,我国学术界对隐含波动率的研究还处于起步阶段,研究成果也主要集中在隐含波动率微笑成因或期限结构特征上,而对隐含波动率曲面研究明显不足,不能更加深入地研究隐含波动率的变化。在这样的背景下,本文在总结和归纳前人研究成果的基础上,尝试解决了波动率套利中的两个问题:一个是套利策略中最佳的期权组合的选择,另一个是如何更加科学、有效的估计波动率。本文的研究可以分为三个部分,分别为理论基础、隐含波动率建模分析和套利策略的建立与检验。(1)理论基础部分,首先本文介绍了波动率的一般理论,然后引出隐含波动率的研究现状,最后对隐含波动率曲面的概念和模型进行了界定和说明。(2)隐含波动率建模分析部分,是本文研究贡献和创新部分。本文的创新点主要有:第一,在前人的隐含波动率参数模型中,隐含波动率被表示为执行价格和到期期限的线性函数,但是没有考虑资金的时间价值。因此,本文一方面用在值程度代替执行价格,另一方面对隐含波动率模型的表达方式进行了改变,将其表示为在值程度和到期日比值的函数。第二,仅仅研究每个隐含波动率的随机过程并不能有效解决波动率估计的问题,因此本文又对参数间的相关关系进行了研究,将VAR模型引入到了隐含波动率曲面建模分析中。本文利用两步法构建了隐含波动率曲面模型:首先在隐含波动率参数模型实证分析的基础上,用VAR模型刻画了参数间的动态关系,然后建立了由隐含波动率参数模型和两变量VAR(2)模型组成的隐含波动率曲面模型。实证分析显示,改进后的隐含波动率参数模型对上证50ETF看跌期权具有较好的估计绩效。(3)套利策略的建立与检验。在这一部分,本文梳理了波动率套利的基本原理。为了捕捉交易信号,本文引入了布林轨道。当中轨突破上轨或下轨视为波动率产生异常,可以进场交易波动率。跨式套利策略的套利结果表明,在该套利行为中套利策略是成功且有效的。通过研究,本文尝试给出了套利策略,并得到了一个稳定的隐含波动率曲面模型。这不仅为交易者构建套利策略提供了有益参考,还有利于推进隐含波动率曲面的相关研究,具有一定的现实意义和理论意义。
[Abstract]:Option is an important financial derivative, with the nature of risk limitation and nonlinear profit and loss structure, which provides an effective risk management tool for investors. Volatility arbitrage is a major feature of option trading. As long as the volatility changes according to the expectation of the trader, the trader can profit from the repeated trading for a long time, although there is a large number of volatility arbitrage strategies in the market. However, few traders deeply analyze how to construct the best option combination in different arbitrage strategies. On the other hand, volatility arbitrage depends on the accurate estimation of volatility. Implicit volatility is considered to be a good approximation of volatility. At present, the research of implied volatility in Chinese academia is still in its infancy. The research results also mainly focus on the cause of implied volatility smile or term structure characteristics, but the implicit volatility surface research is obviously inadequate, can not be more in-depth study of the change of implied volatility. In this context. On the basis of summarizing and summarizing the previous research results, this paper tries to solve two problems in volatility arbitrage: one is the choice of the best option combination in the arbitrage strategy, the other is how to be more scientific. Effective volatility estimation. This paper can be divided into three parts: theoretical basis, implicit volatility modeling analysis and arbitrage strategy establishment and testing. First, this paper introduces the general theory of volatility, and then leads to the current situation of implicit volatility. Finally, the concept and model of implied volatility surface are defined and explained. The part of modeling and analysis of implied volatility is the contribution and innovation part of this paper. The main innovations of this paper are as follows: first. In the previous implicit volatility parameter model, implicit volatility is expressed as a linear function of price and maturity, but the time value of capital is not considered. In this paper, on the one hand, we use the degree of value to replace the executive price, on the other hand, we change the expression of implied volatility model, and express it as a function of the ratio of value to maturity. The problem of volatility estimation can not be effectively solved by studying each stochastic process of implied volatility. Therefore, the correlation between parameters is studied in this paper. The VAR model is introduced into the modeling and analysis of implied volatility surface. In this paper, the implicit volatility surface model is constructed by using two-step method: firstly, the empirical analysis of implicit volatility parameter model is carried out. The dynamic relationship between parameters is described by using VAR model, and then an implicit volatility surface model is established, which is composed of implicit volatility parameter model and two-variable VAR2) model. The improved implied volatility parameter model has a better estimate of the performance of the 50ETF put option in Shanghai stock market. (3) the establishment and test of arbitrage strategy. In this part. In this paper, the basic principle of volatility arbitrage is combed. In order to capture the transaction signal, the Brin orbit is introduced. When the middle orbit breaks through the upper or lower orbit, the volatility is considered to be abnormal. The arbitrage results of the cross-arbitrage strategy show that the arbitrage strategy is successful and effective in the arbitrage behavior. Through the research, this paper tries to give the arbitrage strategy. A stable implicit volatility surface model is obtained, which not only provides a useful reference for traders to construct arbitrage strategy, but also contributes to the research of implicit volatility surface. Has certain realistic significance and the theory significance.
【学位授予单位】：西安工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F724.5

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