| 隐含波动率微分算法的改进——波动率表面模型 |
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| 引用本文： | 张爱玲,吴冲锋.隐含波动率微分算法的改进——波动率表面模型[J].上海交通大学学报,2007,41(12):1985-1989. |
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| 作者姓名： | 张爱玲 吴冲锋 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052 |
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| 摘 要： | 基于以往研究隐含波动率的计算只考虑了交割价格对其的影响而忽略了到期日的作用,提出包含交割价格和到期日两变量的隐含波动率表面模型计算隐含波动率.数值计算结果表明,波动率表面模型提高了波动率的平均计算精度,同时给出了波动率"假笑"和波动率期限结构的特征.所提出的隐含波动率表面模型可作为投资者判断衍生产品投资价值的简单指标.
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| 关 键 词： | 隐含波动率表面 波动率微笑 期限结构 |
| 文章编号： | 1006-2467（2007）12-1985-05 |
| 收稿时间： | 2007-01-05 |
| 修稿时间： | 2007年1月5日 |
An Improved Differential Approach to Computing Implied Volatility——Implied Volatility Surface Model |
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| ZHANG Ai-ling,WU Chong-feng.An Improved Differential Approach to Computing Implied Volatility——Implied Volatility Surface Model[J].Journal of Shanghai Jiaotong University,2007,41(12):1985-1989. |
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| Authors: | ZHANG Ai-ling WU Chong-feng |
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| Abstract: | Former researchers only concentrated on strike price affected implied volatility when computing implied volatility and neglected the effect of expiration.To calculate volatility,this paper proposed an implied volatility surface model including expiration and strike price of options.The numerical calculation shows the implied volatility surface model has improved the estimated precision of volatility.At the same time,the model can give the characters of volatility sneer and term structure of volatility.Investors can apply it in derivative securities market. |
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| Keywords: | implied volatility surface(IVS) volatility smile term structure |
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