标题: 在随机波动模型下风险溢酬的曲线
Does volatility risk premium smile? A stochastic volatility model approach
作者: 杨家珑
Yang, Chia-Lung
卢鸿兴
Lu, Horng-Shing
统计学研究所
关键字: 风险溢酬;微笑曲线;volatility risk premium;smile
公开日期: 2012
摘要: 波动风险溢酬在近些年是一个很重要的变量,因为它可以表达经济市场状态的变化,然而在不同文献中对于波动风险溢酬的定义非常多样。而今天我们要讨论的是在随机波动模型下,如何不需要引进损失函数或一些替代品计算出波动风险溢酬,在我们的方法中我们将利用Heston (1993)提出的模型和Niu(2013)提出随机波动模型的概似函数的近似进行统计推论,我们可以找到波动风险溢酬和选择权价钱之间的一对一关系,在此篇论文的最后介绍了波动风险溢酬在S&P 500下的曲线变化以及市场不同状态如合影响波动风险溢酬的曲线。
The volatility risk premium is an important factor for recent study and in mathematical finance since it represents the variability of economic state. However, there are many literatures that define the risk premium with different methods. In this paper, we discussed how to compute the volatility risk premium without introducing any extra loss function and proxy. We used the Heston (1993) model and simulated likelihood method proposed by Niu (2013) to do statistic inference. We can find a one-to-one relation between option price and volatility risk premium. At last, we use S&P 500 to show the volatility risk premium curve and assess market risk for different curve.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT070052613
http://hdl.handle.net/11536/71796
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