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摘要翻译：
在这项工作中，我们的目的是获得更好的理解波动微笑观察在期权市场的微观模拟(MS)。在我们的MS模型中，我们采用了两种类型的活跃交易者：投机者和套利者，以及一种基础资产的看涨和看跌期权。投机者根据他们对期权到期时资产价格的预期做出决定。套利者利用不同的套利机会进行交易，如违反看跌平价。期权之间的流动性差异也包括在内。尽管它简单，我们的模型可以产生类似于经验观察的隐含波动率(IV)曲线。我们的结果表明，波动微笑与异质交易行为的竞争效应和差异流动性的影响有关。
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英文标题：
《Understanding the volatility smile of options markets through
microsimulation》
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作者：
G. Qiu, D. Kandhai, P. M. A. Sloot
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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：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
In this work, we aim to gain a better understanding of the volatility smile observed in options markets through microsimulation (MS). We adopt two types of active traders in our MS model: speculators and arbitrageurs, and call and put options on one underlying asset. Speculators make decisions based on their expectations of the asset price at the option expiration time. Arbitrageurs trade at different arbitrage opportunities such as violation of put-call parity. Difference in liquidity among options is also included. Notwithstanding its simplicity, our model can generate implied volatility (IV) curves similar to empirical observations. Our results suggest that the volatility smile is related to the competing effect of heterogeneous trading behavior and the impact of differential liquidity.
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PDF链接：
https://arxiv.org/pdf/0709.2070
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