随机波动模型在人民币外汇期权上的实证表现.pdfVIP

万方数据 万方数据 Contents 1 Introduction 1 1.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 Literature Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2.1 Existing literature . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2.2 Gap in the literature . . . . . . . . . . . . . . . . . . . . . . . 1 1.3 Problem formulation and structure overview . . . . . . . . . . . . . . . 3 2 FX options market 5 2.1 FX options market in the world . . . . . . . . . . . . . . . . . . . . . . 5 2.2 FX options market in Asia . . . . . . . . . . . . . . . . . . . . . . . . 5 2.3 FX options market in China . . . . . . . . . . . . . . . . . . . . . . . . 5 2.3.1 CNY market vs CNH market . . . . . . . . . . . . . . . . . . . 5 2.3.2 A complex FX options market . . . . . . . . . . . . . . . . . . 6 2.3.3 The take-off of CNH options . . . . . . . . . . . . . . . . . . . 6 3 Pricing and hedging FX options under stochastic volatility 8 3.1 The Black-Scholes model . . . . . . . . . . . . . . . . . . . . . . . . . 8 3.1.1 Description of the model