贝叶斯博弈框架下期权组合套利研究:理论模型与市场数据验证

Research on Option Portfolio Arbitrage under Bayesian Game Framework:Theoretical Model and Market Data Validation

期权市场中存在大量的套利手段,现有理论模型多基于完全信息市场假设对套利行为的机理进行描述,且在预测套利利润分布上存在一定不足。为刻画不完全信息市场中期权组合套利行为,文章将传统贝叶斯博弈框架推广为更一般的形式,构建了多个期权组合的贝叶斯博弈模型,探究交易者均衡策略下的套利空间,并分析该套利空间的特征。依照模型,文章证明了在一定参数条件下,即使在参与者各方达到最优策略的条件下,市场上仍然存在套利机会;市场上存在无风险博取超额收益的投资机会;这种机会的利润分布近似帕累托分布。最后,文章用市场数据检验了这些结论。

There are a large number of options arbitrage opportunity in the option market.Most of the existing theoretical models describe the mechanism of Arbitrage Behavior in the market based on the assumption of complete information,and there are some deficiencies in predicting the distribution of arbitrage profits.In order to describe the Arbitrage Behavior of option portfolio in incomplete information market,this paper extends the traditional Bayesian game framework to a more general form,constructs a Bayesian game model of multiple option portfolios,explores the arbitrage space under the trader's equilibrium strategy,and analyzes the characteristics of the arbitrage return.According to the model,this paper proves that there are some arbitrage opportunities in the market under certain parameters,even if all participants reach the optimal conditions;there are risk-free investment opportunities to win excess returns in the market;the profit distribution of this opportunity is similar to Pareto distribution.Finally,this paper testifies these conclusions with market data.