人民币对外汇期权波动率研究

A Research on the Volatility of RMB Foreign Exchange Option

本文以人民币对美元的汇率和人民币对外汇期权推出以来的市场价格为基础,构建了人民币对美元汇率的随机波动率模型,并模拟出人民币对美元汇率的稳态分布和均衡波动率曲面。对期权的执行价和波动率等变量回归发现,波动率变动有执行价粘性和delta粘性的双重特点,delta粘性特点尤其显著。在对隐含波动率曲面的分析中,本文试图通过寻找套利机会来验证市场无效,结果发现,用垂直套利、跨期套利和分布套利三种方法都可以实现显著收益。

This paper bases on the exchange rate data and the market data of RMB foreign exchange options, constructs a stochastic volatihty model of the RMB exchange rate against the dollar and simulate the path of vol- atility, obtains the steady - state distribution of exchange rate and equilibrium volatility surface. The regress of the strike price and the volatility indicates that volatility has features of sticky strike and sticky delta, and the feature of sticky delta is more obvious. When analyzing imply volatility surface, we tried vertical arbitrage, cal- endar arbitrage and distribution arbitrage. All arbitrage strategies can generate positive returns.