摘要翻译:
我们详细研究了股票期权微笑的倾斜,这种倾斜是由所谓的杠杆效应引起的,即过去收益和未来平方收益之间的相关性。这很自然地解释了倾斜作为期权成熟度函数的反常依赖性。利用单因素模型分析了杠杆效应的市值依赖性。我们展示了这种杠杆相关性如何产生一个非平凡的微笑动力学,它被证明是介于“粘性罢工”和“粘性三角洲”规则之间的。最后,我们将我们的结果与股票期权的数据进行了比较,发现期权市场在很大程度上高估了杠杆效应,特别是对于长期期权。
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英文标题:
《Smile dynamics -- a theory of the implied leverage effect》
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作者:
Stefano Ciliberti, Jean-Philippe Bouchaud, Marc Potters (CFM)
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最新提交年份:
2008
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Physics 物理学
二级分类:Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
We study in details the skew of stock option smiles, which is induced by the so-called leverage effect on the underlying -- i.e. the correlation between past returns and future square returns. This naturally explains the anomalous dependence of the skew as a function of maturity of the option. The market cap dependence of the leverage effect is analyzed using a one-factor model. We show how this leverage correlation gives rise to a non-trivial smile dynamics, which turns out to be intermediate between the "sticky strike" and the "sticky delta" rules. Finally, we compare our result with stock option data, and find that option markets overestimate the leverage effect by a large factor, in particular for long dated options.
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PDF链接:
https://arxiv.org/pdf/0809.3375