资源描述：
《中国金融市场股灾问题研究-毕业论文外文翻译.doc》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、毕业论文外文翻译课题名称：中国金融市场股灾问题研究院系：财经学院专业：工商管理（金融企业管理方向）二〇一五年十月外文翻译TheInformationContentofOptionImpliedVolatilitySurroundingthe1997HongKongStockMarketCrashIndexoptionsandfuturesarehighlyleveragedspeculativeinstruments.Bullishtradersexpectingariseinthemarketcangolongfutures,buycall,and/orshortput.
2、Bearishtraderswhoexpecttheoppositewouldshortfutures,shortcalland/orbuyput.However,optionshavefinitelivesandtheirvaluesaresubjecttotimedecay.Successfuloptionplayershavetoberightbothaboutmarketdirectionandvolatilityforecastsforaspecifictimehorizon(bythetimeperiodprecedingtheoption’sexpiratio
3、ndate).2Tradersincreasetheirexposureandpayhigherpricesonlyiftheyexpectthereturnstobelargeandimminent.Therefore,tradingvolumesandthepricesofoptionscontractsmayimpoundtheprobability,potentialmagnitude,direction,andmostimportantly,thetimingofprospectivemarketmovements.Intheirseminalpaper,Blac
4、kandScholes(1973)showthatthepriceofanoptionisdeterminedby(1)valueoftheunderlyingasset,(2)payoutsorleakagefromtheasset,(3)time-to-maturityofthecontract,(4)risk-freeinterestrate,(5)exercisepriceoftheoption,and(6)expectedfuturevolatilityoftheasset.Giventhefirstfivefactors,impliedvolatilityism
5、onotonicoveroptionpriceanditiscommonforoptiontraderstoquoteoptionpricesinunitsof(implied)volatility.Impliedvolatilitysummarizesthesupplyanddemandconditionintheoptionsmarketandcanbeinterpretedasanagglomerationofthemarket’santicipationoffuturevolatilitybetweentheinitiationandexpirationdayoft
6、hecontract.Itisanaturalchoiceforforecastingfuturevolatility.RapportandWhite(1994)postulatethatthebrokers’loaninthe1920swasactuallyacalloptioncontract.Basedonthisinsight,theyfindthattheimpliedvolatilityinferredfromthebrokers’loansrosesharplyinearly1929wellinadvanceoftheOctober1929crash.They
7、alsofindthatimpliedvolatilitycontinuedtobuildupuntilthecrashoccurred.Schwert(1990)andBates(1991)showthatthevolatilityimpliedbytheS&P500indexoptionssignaledthe1987crash.Moreover,priortothecrash,theimpliedvolatilityoftheout-of-the-moneyputwassignificantlyhighert
