摘要
波动率指数反映了期权投资者对未来市场波动性的预期,被用作衡量市场风险的重要依据。试图应用波动率指数来构建一种风险收益特性类似于债券的期权投资策略,即寻找市场中隐含波动率较相应的波动率指数高估或低估的期权品种并进行建仓,再用标的现货使组合保持delta中性。最后采用香港恒生指数期权数据进行了实证分析,结果显示该策略具有一定的实用价值,对期权投资具有一定的参考意义。
Volatility plays an important role in pricing, trading and risk control of financial derivatives. By using option＇s implied volatility and other relative Greek parameters based on Black-Scholes model, we constructed a series of volatility indexes of call option and put option. According to these volatility indexes, one trading strategy that has similar risk return profile to bond was put forward. The strategy buys or sells options when there is an abnormal spread between its implied volatility and the corresponding volatility index, then uses the option＇s underlying to keep those positions delta neutral. Experimental results show the strategy is profitable.
出处
《河北工业科技》
CAS
2009年第6期513-518,共6页
Hebei Journal of Industrial Science and Technology
