国际溢出、国内基本面与期权定价

International spillover,domestic fundamentals and option pricing

构建了一个具有主导市场和追随市场的两市场综合模型(SpillMacro-GARCH),它允许主导市场对追随市场存在溢出效应和两个市场的波动均受本国基本面因素的影响,此外,在Radon-Nikodym导数为非单调假设条件下推导出新模型的欧式期权的封闭解价格,该研究框架适用于新兴市场的期权定价.实证结果显示:基于上证50ETF期权数据和隐含波动率均方根误差(IVRMSE)的评价标准,且在其它条件保持相同的情况下,考虑国际溢出效应可以降低期权定价误差约14.5%;增加宏观基本面因素的定价模型比传统HN-GARCH模型和滚动窗(RollWin)方法的期权定价误差分别下降7.9%和24.0%;同时还发现非单调的定价核能够显著地提高期权定价精度.以上结论对不同的定价效率评价标准、不同的宏观基本面代理变量、不同的研究样本区间和样本外定价分析等均是稳健的.

This paper develops a new comprehensive model for two markets:The domninant and the fllowing market.This model can capture the spillover effect from international market and domestic fundamentals.A closed-form solution is derived for European option pricing assuming non-monotonic pricing kernel.Using the 50ETF option data,the paper finds that accounting for the spillover effect reduces implied volatility root-mean-square error(IVRMSE)by 14.5%。The model with macroeconomic fundamentals has a 7.9%and 24.0%improvement over the traditional GARCH model and rlling window method,respectively.Further,the non-monotonie pricing kernel results are with a higher prieing accuracy than its monotonie counterpart.This result is consistent when using an alternative evaluation criterion of Vega weighted root-mean-square error(VWRMSE).Our findings are robust to diferent macroeconomic variables,various evaluation periods,and out-of-sample option pricing exercise.