（Model-Free）隐含波动率.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * * Volatility Smiles Chapter 18 未来波动率的预测 标的资产未来波动率的估计对于资产定价和风险管理都至关重要，过去人们主要从历史波动率来估计未来波动率，这种用历史来推断未来的做法存在很大的缺陷。而期权价格中则包含着市场对未来波动率的估计，因此我们就可以通过期权价格来提取未来波动率的信息。 * 隐含波动率 由于其他变量的值在市场上都观察得到，因此实务界就将期权价格代入Black-Scholes期权定价公式（Black and Scholes, 1973），反求出波动率。这样求出来的波动率被称为隐含波动率。 * VIX指数（2003年起改为无模型隐含波动率） * * Put-Call Parity Arguments Put-call parity p +S0e-qT = c +X e–r T holds regardless of the assumptions made about the stock price distribution It follows that pmkt-pbs=cmkt-cbs * Implied Volatilities When pbs=pmkt, it must be true that cbs=cmkt The implied volatility calculated from a European call option should be the same as that calculated from a European put option when both have the same strike price and maturity The same is approximately true of American options * Volatility Smile 由于Black-Scholes期权定价公式是建立在标的资产服从对数正态分布的假定基础上，而这种假定与现实明显不同。于是人们就利用同一期限不同协议价格的期权价格求出对应的隐含波动率，并把它们绘制成曲线，这就是波动率微笑。 A volatility smile shows the variation of the implied volatility with the strike price The volatility smile should be the same whether calculated from call options or put options * The Volatility Smile for Foreign Currency Options (Figure 16.1) Implied Volatility Strike Price * Implied Distribution for Foreign Currency Options The implied distribution is as shown in Figure 18.2. Both tails are heavier than the lognormal distribution It is also “more peaked than the lognormal distribution * * The Volatility Smile for Equity Options (Figure 16.3) Implied Volatility Strike Price 由于股票收益率存在明显的负偏斜，因此，股票的波动率微笑的斜率一般都为负。 Yahoo股票期权隐含波动率微笑 * * Implied Distribution for Equity Options The implied distribution is as shown in Figure 18.4. The right tail is less heavy and the left tail is heavier than the lognormal distribution * 花期银行股票的波动率微笑 * 花期银行股票的波动率微笑 该股票波动率微笑却呈现两头翘起的典型“微笑”形状，这说明在金融危机最严重之时，市场预测花旗银行未来大涨和大跌的概率都较大，说明市场对花旗银行的未来命运存在较大分歧；此外，看跌期权价格的隐含波动率大于看涨期权的隐含波动率，这说明市场较为悲观。 * * Other Volatility Smiles? What is the volatility smile if