摘要
针对半参数SVI模型提出了避免跨期套利约束模型,根据平稳时间平方根规则,用对数执行价格和剩余期限的特定组合替代了原模型中的对数执行价格.为了使对数执行价格和剩余期限之间的关系更加灵活,引入了新的参数来调整二者之间的组合,并在此基础上提出参数模型构建隐含波动率曲面.最后基于AAPL股票期权进行了实证分析,结果表明,改进半参数模型更具灵活性与精确性,能够较好地构建隐含波动率曲面.
This paper improves the semi-parametric SVI model.According to the stationary square root of time rule,the logarithmic strike price is replaced with the particular combination of the logarithmic price and maturity,and also add a new parameter to adjust the combination.And on this basis a new parameter model is put forward to rebuild the implied volatility surface.It also carries some empirical analyses based on AAPL stock option.The experimental results show that the modified model is more flexible and accurate,and the parameter model has a better fitting.
作者
庄颖
吴小燕
王美清
ZHUANG Ying;WU Xiaoyan;WANG Meiqing(College of Mathematics and Computer Science,Fuzhou University,Fuzhou,Fujian 350116,China)
出处
《福州大学学报（自然科学版）》
CAS
北大核心
2018年第2期169-177,共9页
Journal of Fuzhou University(Natural Science Edition)
基金
福建省自然科学基金资助项目(2015J01013)
关键词
隐含波动率
半参数模型
SVI模型
无风险套利
implied volatility
semi-parametric model
stochastic volatility inspired
arbitrage-free
