期权套利的收益率分布估计

发布时间：2018-07-16 22:58

【摘要】：期权是指赋予其购买者在规定期限内(到期日)按双方约定的价格(执行价格)购买或出售一定数量某种资产(标的资产)的权利。期权交易中除了期权套期保值外,还存在大量的期权套利行为。所谓期权套利是指投资者通过同时买入不同认购期权、认沽期权、期货以及现货来构造一个无风险的投资组合,并赚取其中的价差。本文研究期权套利的收益率分布估计,此处的期权套利是指出售一个看涨期权,同时利用无风险利率出售或借贷资金购买标的股票进行套利。由于标的股票和期权价格的变动,此期权套利组合是风险暴露的,它需要根据股票价格和期权价格变化不断进行风险对冲。当市场存在交易成本时,频繁对冲会带来巨额的交易成本,另外在对冲过程中权衡交易成本和风险。针对此问题,本文采用ChidambaranFiglewski准分析密度估计法(CF法),综合考虑交易成本,股票波动率和对冲准则,建立期权套利收益率的分析函数,对套利收益率的分布进行估计,并由此估计的密度函数得出最佳套利策略。最后,本文通过实例说明买卖价差,经纪人佣金和股票波动率的变化对最优套利策略的选取所产生的实质性影响。
[Abstract]:Option is the right to purchase or sell a certain amount of assets (underlying assets) at the agreed price (execution price) within a specified period of time (maturity date). Besides option hedging, there are a lot of options arbitrage in option trading. The so-called option arbitrage means that investors construct a risk-free portfolio by simultaneously buying different subscription options, put options, futures, and spot positions, and earn the spread among them. This paper studies the estimation of the yield distribution of option arbitrage, which refers to selling a call option and using the risk-free interest rate to sell or borrow funds to buy the underlying stock to carry on arbitrage. Because of the change of the underlying stock and option price, the option arbitrage portfolio is exposed to risk, and it needs to hedge continuously according to the stock price and option price change. When there are transaction costs in the market, frequent hedging will bring huge transaction costs, in addition, the transaction costs and risks will be weighed in the hedging process. In order to solve this problem, Chidambaran Figlewski quasi-analytical density estimation (CF method) is used to estimate the distribution of arbitrage return by considering the transaction cost, stock volatility and hedging criteria. The optimal arbitrage strategy is obtained from the estimated density function. Finally, this paper illustrates the substantial influence of the variation of the price difference, broker commission and stock volatility on the selection of optimal arbitrage strategy.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.91

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