Model-Free Implied Volatility : From Surface to Index
Model-Free Implied Volatility : From Surface to Index
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无模型隐含波动率：从表面到指数
DOI：
10.1142/s0219024911006681
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发表时间：
2011
影响因子：
0.5
通讯作者：
Masato Ubukata and Kazutoshi Yamazaki
中科院分区：
文献类型：
--
作者：
Masaaki Fukazawa;Isao Ishida;Nail Maghrebi;Kosuke Oya;Masato Ubukata and Kazutoshi Yamazaki
我们提出了一种基于期权价格来逼近资产预期平方变化的新方法。资产价格的二次变化通常被认为是对其波动性的一种度量，其定价下的期望值可以理解为市场对未来波动性的预期。我们利用资产方差与Black-Scholes隐含波动率曲面之间的关系，讨论了这种新的无模型方法相对于基于VIX指数的CBOE方法的优点。我们为波动率曲面引入的内插方案被设计成与套利边界一致。我们在Heston随机波动率模型下的数值结果表明，这种方法显著降低了逼近误差，并进一步从日经225期权中提供了经验证据，表明新的隐含波动率指数在预测未来波动率方面更加准确。
We propose a new method for approximating the expected quadratic variation of an asset based on its option prices. The quadratic variation of an asset price is often regarded as a measure of its volatility, and its expected value under pricing measure can be understood as the market's expectation of future volatility. We utilize the relation between the asset variance and the Black-Scholes implied volatility surface, and discuss the merits of this new model-free approach compared to the CBOE procedure underlying the VIX index. The interpolation scheme for the volatility surface we introduce is designed to be consistent with arbitrage bounds. We show numerically under the Heston stochastic volatility model that this approach significantly reduces the approximation errors, and we further provide empirical evidence from the Nikkei 225 options that the new implied volatility index is more accurate in predicting future volatility.