奇异期权

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奇异期权多是场外交易品种，但是有没有历史交易数据可找，哪里可以找到呢？只要某种股票的某种奇异期权交易数据即可，求指教~~淘宝上卖路透、彭博数据库的都说没有

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关键词：奇异期权 交易数据 场外交易 期权交易 交易品种 期权交易 淘宝 数据库 历史 品种

You are fortunate coz I am working at Bloomberg.

The exotic options as you have pointed out are all OTC traded. If it is OTC traded, then you should understand that there should be no single price there. Say you have a good relationship with a broker or dealer, you get a better price. So different clients have different prices. Bloomberg do have some "average" prices on some OTC traded derivatives by dragging the price from the emails of our clients' conversation with their brokers if they are using our terminal email system. (don't worry, it is legal). But for most of the OTC traded products, historical data is not easy to get.

Most of the times the prices our clients get when settle the deal with their counter-party is a secrete. What we usually do is our clients give us a price or parameter (volatility, yield spread) and choose a model they want and we calibrate the model and price the derivative with our pricer (which is definitely available on the terminal) for them. And based on the model they choose, we do the risk analysis and post the result on their screen.

Even for some scenarios which historical data is needed, for example, one client want to know his Historical VaR on an Barrier option. What we do is we do not store (or actually we may not have) the historical price of that option. Instead, we decompose every financial asset into different risk factors (which we have the historical prices) and map them back into a price. Say for a barrier option. We have equity price, the interest rate curve, the volatility surface for the vanilla option for that equity etc. After we have these, we can choose a model for barrier option and get the price and do risk analysis.

So that's why they tell you we don't have exotic option's data. We may have, but it may be internal used only or for large institutions (because they are very expensive) and different clients have different price so we need to book the trades for every client we serve. And sometimes the clients may give us the permission to view their positions for running some models or risk analysis but that is of course a high level secrete.

Just to let you know the logic behind it.

best,

Chemist_MZ 发表于 2014-8-1 08:24
You are fortunate coz I am working at Bloomberg.

The exotic options as you have pointed out are  ...

版主好，您的意思彭博可以提供奇异期权风险分析的功能吗？还有您说的历史var，其实是mark to model的意思吗？

Chemist_MZ 发表于 2014-8-1 08:24
You are fortunate coz I am working at Bloomberg.

The exotic options as you have pointed out are  ...

谢谢您详细的解释，解答了我所有的疑问，没错，我是幸运的~~[em23]

cooper56 发表于 2014-8-1 08:55
版主好，您的意思彭博可以提供奇异期权风险分析的功能吗？还有您说的历史var，其实是mark to model的意思 ...

Our pricer for options and fixed income do support different kinds of exotic options. For example for swaption you can definitely choose the Bermuda type which is the type of a large number of swaption traded in the market. But as you have pointed out, it is only a pricer. We do not have their market price (because they have no "market"). Our clients use our pricer and load the parameters they have and save the setting. We call it "book" the trade. When the option is booked, our risk system can analysis the risk as I have mentioned. You can think it as a customized option create tool.

Some option types are supported in the terminal pricer but may not be avaible in the risk system (Enterprise Risk Systerm or ERisk) we are now building (it is a product only availbe to large institutions. And it is a another product in addition to the bloomberg terminal). Many functions may be supported in the future. For the saying marke to model, it is partially correct at least for our risk factors, they are mark to market. For risk management purpose, mark to model is ok because the risk analysis itself is based on some models. But if you do some arbitrage or high freq trade that rely heavily on the accurancy of the price, it is not enough. You need to buy high quality data, which we also have. But for defult data, it is free.

best,