基于上证50ETF期权的波动率指数设计及应用

发布时间：2018-03-31 15:31

本文选题：上证50ETF期权　切入点：波动率指数　出处：《云南财经大学》2016年硕士论文

【摘要】：波动性在金融市场中扮演着举足轻重的角色,它在金融衍生品的定价、交易策略以及风险控制中都起着重要的作用,金融市场不能缺少波动性但波动性过大又会使得投资者过于担心风险而造成市场失去吸引力。因此,衡量市场的波动性十分必要。芝加哥期权交易所推出的波动率指数(VIX)就是衡量金融市场波动性的一个成功典范。该指数通过反映人们对市场未来波动的一致预期来达到风险防范和指导交易的目的,现已广泛运用于资产定价、风险管理等领域,成为美国股票市场波动性的基准指标。基于国外市场对波动率指数已经有很长一段时间的研究,而国内这一方面由于期权交易起步较晚几乎空白,本文拟在中国期权波动率指数的开发方面作一些尝试。本文旨在芝加哥期权交易所推出的VIX指数获得世界范围内广泛认可的基础上,尝试根据该指数的编制原理并结合我国的实际情况构建一个适合衡量我国市场当前的波动状况并能在一定程度为投资者提供风险提示的国内市场期权波动率指数。本文的一系列研究都将围绕该波动指数的编制方法及其统计特征和市场功能而展开。本篇文章首先介绍了本文选题的背景、意义以及全文的研究思路,之后介绍了该指数相关理论,其中重点介绍了芝加哥期权交易所波动率指数的编制方法。在此基础上根据我国期权市场的交易规则编制符合我国市场的期权波动率指数,基于我国波动率指数的数据和相关指数作有关分析得出国内市场波动率指数的预测效果,根据结论提出该指数在我国的应用前景,最后给出本文总结和政策建议。
[Abstract]:Volatility plays an important role in the financial market. It plays an important role in the pricing, trading strategy and risk control of financial derivatives. Financial markets can't lack volatility, but too much volatility can cause investors to worry too much about risk and make the market unattractive. It is necessary to measure market volatility. The Chicago options Exchange volatility Index (VIX) is a successful example of financial market volatility. It reflects consistent expectations of future market volatility. To achieve the purpose of preventing risks and guiding transactions, It has been widely used in asset pricing, risk management and other fields, and has become the benchmark index of volatility in the stock market of the United States. On the other hand, because of the late start of option trading in China, This paper intends to make some attempts in the development of Chinese option volatility index. The purpose of this paper is to obtain the worldwide recognition of the VIX index developed by the Chicago options Exchange. According to the compilation principle of the index and the actual situation in our country, this paper attempts to construct an option volatility index suitable for measuring the current volatility of the Chinese market and providing investors with risk tips to a certain extent. A series of studies in this paper will be carried out around the compilation method, statistical characteristics and market function of the volatility index. The significance of the research and the research ideas of the full text, and then introduced the related theory of the index, This paper mainly introduces the method of compiling volatility index of Chicago option Exchange, on the basis of which, according to the trading rules of our country's option market, we draw up the option volatility index in accordance with our country's market. Based on the data of volatility index in China and related indexes, the prediction effect of volatility index in domestic market is obtained. The application prospect of volatility index in China is put forward according to the conclusion. Finally, the summary of this paper and the policy suggestions are given.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F724.5

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