基于外汇期货期权的隐含风险中性概率的复原与市场情绪

Recovering of implied risk-neutral probability distributions of foreign exchange futures options and market sentiment

金融资产价格蕴涵着市场信息,涉及宏观经济、公司财务、经济人偏好等诸多种类.尝试从衍生资产的价格中挖掘反映经济人对未来预期的信息.首先从欧元期货期权的价格中推导欧元期货的隐含风险中性概率分布密度;该分布具有尖峰的特点,并且随着时间推移而发生变化.其次提出情绪测量指标,并论证投资者情绪会影响隐含风险中性概率分布的认知.在复原隐含风险中性概率分布的过程中能够使用表现投资者对同时存在多种分布的处理的方法,这为Knight不确定环境的存在提供更多的实验证据.

Much information is included in prices of financial assets such as those of finance, and agents＇ preferences. This article attempts to dig up informations about agents＇ expectation for the future. Firstly we exams risk-neutral probabilities distribution （or state-contingent prices） from the simultaneously observed prices of Euro Fx European options with a nonparametric method. These distributions characterize by leptokurtosis and vary with time going. Secondly we propose an index for measuring sentiment and indicate that the variation of riskneutral probability distribution is affected by agent＇s changefully sentiment. Implied risk-neutral probability distributions suggest that facing the uncertainty agents will use a combined distribution and this give another evidence of which Knightian situation exists.