Modelling the implied volatility surface based on Shanghai 50ETF options
Modelling the implied volatility surface based on Shanghai 50ETF options
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DOI：
10.1016/j.econmod.2017.04.009
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发表时间：
2017-08-01
影响因子：
4.7
通讯作者：
Zhang, Ting
中科院分区：
文献类型：
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作者：
Wang, Jinzhong;Chen, Shijiang;Zhang, Ting
建立了上证50 ETF期权隐含波动率曲面的动态因子模型。基于IVS的动态变化是均值回复和马尔可夫的假设，我们使用状态空间模型来捕捉IVS的动态，并设置潜在的因素是Ornstein-Uhlenbeck过程。我们使用卡尔曼滤波算法获得参数的最优估计。实证结果表明，该模型在拟合能力和预测性能方面均优于传统的IVS模型。
We develop a dynamic factor model to forecast the implied volatility surface (IVS) of Shanghai Stock Exchange 50ETF options. Based on the assumption that dynamic change in IVS is mean-reverting and Markovian, we use a state space model to capture the dynamics of IVS, and set the latent factors to be the Ornstein-Uhlenbeck processes. We obtain the optimal estimations of parameters using the Kalman filter algorithm. Empirical results show that our model performs better than the traditional IVS model in terms of fitting ability and prediction performance.