利用标准化波动率微笑预测期权价格的实证分析

DEMONSTRATION ON ESTIMATING OPTION PRICE BY STANDARD VOLATILITY SMILE METHOD

本文利用市场报价对期权均衡价格的估计提供了一种新的数值方法——标准化波动率微笑方法,为了验证该方法的有效性,本文同时采用历史波动率法、GARCH(1,1)模型、加权隐含波动率法,对美式SPDR期权进行了实证研究,分析了上述四种方法的预测效果.结果表明,本文的方法简单有效,具有较高的实际应有价值,对市场投资具有正面的辅助作用.

Basing on market quotes, this paper presents a new computational method- standard volatility smile method for estimating prices of options. In order to verify the validity of this new method, the historical volatility method, GARCH（1, 1 ） model and the implied volatility weighted method are carried out based on the American call options underlying SPDR as well. The demonstration analysis indicates that the results estimated are satisfactory and the new method is effective.