摘要
随着人民币外汇期权市场的快速发展,市场参与者对符合人民币汇率特征的精准期权报价、存量交易风险管理的要求逐步提高,构建完整有效的波动率曲面就显得尤为重要。文章回顾了银行间期权市场报价机制与波动率曲线的两个特征——倾斜(Skewness)与凸性(Curvature)的联系,介绍了通过两个特征构建人民币波动率曲面的方法,并简要探讨人民币波动率曲面构建的特殊性和对未来市场的展望。
With the rapid development of the RMB/FX option market, there is a growing demand for trading risk management and precise option pricing suited to the RMB exchange rate market, thus constructing a comprehensive and effective volatility surface is of great necessity. The essay reviews the correlation between the two characteristics, namely skewness and curvature, of the quotation mechanism and the volatility curve in the interbank FX option market, introduces a method to construct a RMB volatility surface via the 2 characteristics, and briefly probes into the particularities in such construction and offers an outlook into the future option market.
出处
《中国货币市场》
北大核心
2017年第5期36-39,共4页
China Money