摘要
随着金融投资全球化,如何提供更完善的风险管理产品成为交易所产品发展的特征之一。目前国际上许多交易所编制了波动率指数(VIX),并以此为标的提供新产品,为投资者提供波动率避险的工具。本文对波动率指数(VIX)的计算原理进行了梳理和比较,并对其表现进行了归纳总结,以供国内相关金融衍生品的设计和发展借鉴。
With globalization of financial investment, it has been an increasingly important factor for stock exchanges to address risk management issues in product development. At this background, volatility indexes are launched by many exchanges as underlying securities of new instruments and hedging tool. This paper clarifies the calculation principle of VIX and concludes on its performance, in hope to provide positive reference for development of financial derivatives in China.
出处
《证券市场导报》
CSSCI
北大核心
2006年第9期74-77,共4页
Securities Market Herald
关键词
指数期权
波动率指数
风险管理
衍生品
index futures
volatility index
risk management
derivatives
