Implied volatility smiles in the Nikkei 225 options
Implied volatility smiles in the Nikkei 225 options
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DOI：
10.1080/09603107.2013.767975
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发表时间：
2013-03
期刊：
影响因子：
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通讯作者：
Y. Fukuta;Wenjie Ma
中科院分区：
文献类型：
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作者：
Y. Fukuta;Wenjie Ma
本文通过考虑广义自回归条件异方差 (GARCH) 对微笑的影响以及期权价值相对于期权买卖价差的不对称性，分析了日经 225 期权中的波动率微笑。我们的实证结果显示了看涨期权和看跌期权价值不对称的证据，其中期权价值似乎更接近出价而不是要价。我们还发现这种不对称性对缓解微笑波动有影响。此外，当我们在估计期权隐含波动率时同时考虑不对称性和 GARCH 时，我们发现波动率微笑的证据要少得多。
This article analyses volatility smiles in the Nikkei 225 options by taking the Generalized Autoregressive Conditional Heteroscedastic (GARCH) effects on smiles and the asymmetry of option values with respect to option bid–ask spreads into account. Our empirical results show the evidence for the asymmetry in call and put option values, where the option values appear to be closer to bid than to ask quotes. We also find that this asymmetry has an effect on the mitigation of volatility smiles. Furthermore, when we take both the asymmetry and the GARCH into account in the estimation of option-implied volatilities, we find considerably less evidence for volatility smiles.