随机波动模型在人民币外汇期权上的实证表现

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1、UÎfM∫áèèè:::‚‚‚®®®!!!ããã(((∫∫∫⌘⌘⌘GGGCCC⌦⌦⌦ÑÑÑûûû¡¡¡hhh∞∞∞EmpiricalPerformanceofStochasticVolatilityModelsonFXOptionsregardingRMB\⇧⇧⇧⇢⇢⇢FlorianGAUDET¸¸¸⇢⇢⇢ãããfffYYYààà⌦w§⇢'f⌦wÿß—çfbåÀ€î万方数据EmpiricalPerformanceofStochasticVolatilityModelsonFXOptions

2、regardingRMBByFlorianGAUDETUndertheSupervisionofProfessorWANGTanSubmittedinPartialFulfillmentoftheRequirementsFortheDegreeofMasterofFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaotongUniversityMay2014万方数据万方数据万方数据万方数据Contents1Introduction11.1Background.......

3、.........................11.2LiteratureReview.............................11.2.1Existingliterature.........................11.2.2Gapintheliterature.......................11.3Problemformulationandstructureoverview...............32FXoptionsmarket52.1FXoptionsmarket

4、intheworld......................52.2FXoptionsmarketinAsia........................52.3FXoptionsmarketinChina........................52.3.1CNYmarketvsCNHmarket...................52.3.2AcomplexFXoptionsmarket..................62.3.3Thetake-offofCNHoptions...........

5、........63PricingandhedgingFXoptionsunderstochasticvolatility83.1TheBlack-Scholesmodel.........................83.1.1Descriptionofthemodel.....................83.1.2AssumptionsofthemodelvsEmpiricalfacts..........83.1.3Pricingofvanillaoptions.....................9

6、3.2Needsforbetterpricingandhedgingmodels...............93.3Stochasticvolatilitymodelsataglance..................93.4TheHestonmodel.............................103.4.1Descriptionofthemodel.....................103.4.2AssumptionsofthemodelvsEmpiricalfacts..........1

7、13.4.3Pricingofvanillaoptions.....................113.5TheBatesmodel.............................123.5.1Descriptionofthemodel.....................123.5.2AssumptionsofthemodelvsEmpiricalfacts..........133.5.3Pricingofvanillaoptions.....................134Dataset14

8、4.1Historicalexchangerates.........................144.2Risk-freerates...............................164.3Optionspricesandimpliedvolatility...................1