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波动率指数是期权市场的定价基准,编制符合我国期权市场特点的波动率指数具有很强的现实意义。为保证波动率指数的适用性,本研究充分考虑我国期权市场的差异性,并通过理论分析论证其科学性,通过实证分析检验其有效性。研究发现,方差互换原理适用于ETF期权市场;通过引入分段函数可以基本解决上证50ETF期权的合约月份较少的问题;深度虚值期权对波动率指数的贡献非常小,期权市场执行价格较少、合约间隔较大的问题可以不予考虑。建议:在当月、次月合约的基础上增加一个的近月合约;适当增加期权合约的执行价格数量;在异常波动时期,对波动率指数的跳跃成份进行补偿,避免显著低估期权市场真实波动率。
The Volatility Index is the pricing benchmark for the options market. It is of great practical significance to draw up a Volatility Index that is in line with the characteristics of China’s options market. In order to ensure the applicability of Volatility Index, this study takes full account of the differences of China’s option market, and through the theoretical analysis to prove its scientific nature, through the empirical analysis to test its validity. The study found that the principle of variance swap is suitable for the ETF option market. By introducing a piecewise function, the issue of fewer contract months for the SSE 50 ETF options can be basically solved. The contribution of the deep-value option to the volatility index is very small. Fewer, the larger the contract interval can not be considered. Suggest: Add one recent contract on the basis of the current month and the next month. Increase the exercise price of the option contract appropriately. During the abnormal fluctuation period, compensate for the jump component of the volatility index to avoid significantly underestimate the real volatility of the option market .