隐含波动率文献综述

A Literature Review on Implied Volatility

隐含波动率作为波动率的重要子分支,在金融产品定价、风险对冲以及未来已实现波动率预测方面起着极其重要的作用。本文综述了隐含波动率的研究情况,以期扩展对期权期货市场的理解。本文首先基于市场不完备的三种解释,分为波动率随机性、价格异常值和金融市场交易费用这三个阶段对隐含波动率的研究进行综述。之后,本文就隐含波动率在风险管理和期权定价方面的应用成果进行总结。最后,本文简述隐含波动率的未来研究方向及意义。

As an important type of volatility, implied volatility has many significant applications in financial product pricing, risk hedge,and realized volatility forecasting. This article makes a survey of studies in implied volatility to extend our understanding of market of future and options. Based on the three explanation of market incompleteness, the article concludes the applications of implied volatility in risk management and option pricing. Finically, it discusses the future direction of study in this area.