基于中国股票市场的波动率及期权研究

发布时间：2018-01-12 09:22

本文关键词：基于中国股票市场的波动率及期权研究　出处：《对外经济贸易大学》2016年博士论文　论文类型：学位论文

【摘要】：在现代金融理论和实践研究中,波动率已经受到越来越多的关注。作为风险度量指标,波动率在风险管理、资产定价领域中有着重要的地位,特别是在期权类衍生品定价中,波动率是其中重要的参数。在上证50ETF期权刚刚推出的背景下,波动率的研究对我国股票市场有着重要的理论和实践意义。从上世纪80年代以来,国外学者对波动率,尤其是股票市场波动率进行了深入研究。然而,由于历史和发展的原因,我国股票市场的波动率问题,尤其是股票期权隐含波动率问题的研究与国外成熟市场尚存在较大差距,直接在我国股票市场使用国外研究结论显然是不合适的。本文主要针对中国股票市场,从实现波动率和上证50ETF期权隐含波动率两个视角出发,对波动率特征、波动率预测、期权隐含波动率、波动率套利等多个方面展开了研究,主要内容和创新包括以下方面:第一,对沪深300指数波动率的特征进行了较为详细的研究,验证了波动率的分布、序列相关性、长记忆性、均值回复性、日期效应、结构变化、锚定效应等特征,从中发现我国股票市场波动率与美国成熟市场波动率具有显著差异,具体表现在:美国股票市场波动率在市场下跌时显著增加,上涨时没有显著变化,而我国股票市场波动率在上涨趋势和下降趋势中都显著增加。第二,对上证50ETF期权的隐含波动率展开研究,使用SVI函数描述了隐含波动率曲线的微笑、偏斜现象,编制了我国上证50ETF期权的波动率指数,发现隐含波动率和实现波动率之间存在相互影响,隐含波动率的演化特征在距到期日5日内具有执行价粘性特点,在5日至两个月内具有delta粘性特点。第三,研究了波动率的预测问题,分别提出了基于实现波动率和隐含波动率的预测模型,并将长期波动率预测和短期波动率预测区分开来,比较了各个预测模型的预测精度,发现从隐含波动率出发,能够较好地实现对未来波动率的预测,尤其是对未来周波动率和月波动率的预测。第四,依据随机波动率模型推导了波动率稳态分布和均衡波动率曲面,并针对隐含波动率与波动率稳态分布、均衡波动率曲面的差异,对上证50ETF期权提出了多种波动率套利策略,发现各个套利策略均能获得显著的收益。
[Abstract]:Volatility has attracted more and more attention in modern financial theory and practice. As a risk measurement index, volatility plays an important role in the field of risk management and asset pricing. Especially in the pricing of options derivatives, volatility is one of the important parameters. The research of volatility has important theoretical and practical significance for China's stock market. Since -20s, foreign scholars have carried out in-depth research on volatility, especially in stock market. Because of the history and development, there is still a big gap between the stock market volatility in our country, especially the implied volatility of stock options. It is obviously inappropriate to use the foreign research conclusions directly in China's stock market. This paper focuses on the Chinese stock market from the realization of volatility and the implied volatility of 50 ETF options. Volatility characteristics, volatility prediction, options implied volatility, volatility arbitrage and other aspects of the study, the main content and innovation includes the following aspects: first. The characteristics of volatility of Shanghai and Shenzhen 300 index are studied in detail, and the characteristics of volatility distribution, sequence correlation, long memory, mean recovery, date effect, structural change and anchor effect are verified. It is found that the volatility of our stock market is significantly different from that of the mature market in the United States, which is manifested in the fact that the volatility of the stock market in the United States increases significantly when the market falls, but does not change significantly when it goes up. The volatility of China's stock market has increased significantly in both the upward trend and the downward trend. Secondly, the implied volatility of Shanghai 50ETF option is studied. SVI function is used to describe the smile and skew of implied volatility curve. The volatility index of 50 ETF options is compiled. It is found that there is interaction between implied volatility and realized volatility. The evolutional characteristics of implied volatility have the characteristics of price stickiness from 5th to maturity, and delta viscosity from 5th to two months. Thirdly, the prediction of volatility is studied. The prediction models based on realized volatility and implied volatility are proposed, and the prediction accuracy of each prediction model is compared by distinguishing long-term volatility prediction from short-term volatility prediction. It is found that based on the implied volatility, the prediction of the future volatility can be realized better, especially the prediction of the future weekly volatility and the monthly volatility. 4th. Based on the stochastic volatility model, the stable distribution of volatility and the surface of equilibrium volatility are derived, and the differences between implicit volatility and steady state of volatility, equilibrium volatility surface are discussed. This paper puts forward a variety of volatility arbitrage strategies for Shanghai 50 ETF, and finds that each arbitrage strategy can achieve significant returns.
【学位授予单位】：对外经济贸易大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F224;F832.51;F724.5

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