摘要
交易量快速上升的人民币外汇期权,已经成为企业和商业银行管理风险的重要工具。文章在国内相关研究中,首次利用实际成交期权交易1年期限波动率数据对SABR模型进行校准,通过ATM波动率与远期汇率最小二乘法回归,构建最小误差函数并通过Levenberg-Marquardt Mehtod进行近似,并改进求解SABR模型波动率方程初始值的一元三次方程的结构,获取基于人民币期权交易数据校准的SABR模型参数,产生相应波动率曲线,并通过样本数据进行套利分析。此外,研究表明SABR模型在历史数据后验测试中具有更好的拟合效果,通过偏Delta样本数据后验检验表明,相比三次样条的外推,客户远期价格与波动率相关方程的SABR模型在刻画期权的Delta粘性和行权价粘性特征上更具优势,从而为商业银行、工商企业等提供灵活有效的套期保值工具。
The rapidly growing foreign currency（FX） option has become an important tool for the risk management of enterprises and commercial banks. This paper, using one year term volatility data of actual options trading, calibrates the SABR model for the first time in thedomestic related research, constructs the minimum error function through the ATM volatility and the forward exchange rate least square re-gression, and approximates it by the Levenberg-Marquardt Method, improves the structure of the unary three equation for solving the ini-tial value of the volatility equation of the SABR model to obtain the parameters of the SABR model based on the data of the RMB optiontransaction and generates the corresponding volatility curve, and carries on the arbitrage analysis by the sample data. In addition, the studyshows that the SABR model fits CNY option volatility historical data better. Compared with the extrapolation of thecubic spline, the SABRmodel of the correlation equation of customer forward price and volatility has more advantages in depicting the Delta stickiness and the exercise price stickiness, these features provide flexible and effective currency hedging tools for commercial banks and enterprises.
出处
《华东经济管理》
CSSCI
北大核心
2017年第10期112-117,共6页
East China Economic Management
基金
安徽省社会科学创新发展重大研究项目(2017ZD002)
