随机波动模型在人民币外汇期权上的实证表现

摘要

This thesis focuses on Foreign Exchange (FX) options regarding the Chinese currency:the Renminbi (RMB). More precisely，it focuses on the thriving market of the offshore RMB，also known as CNH. While the access of the onshore RMB is limited for foreign investors and heavily regulated，the CNH market，created in 2010，experienced an exponential growth over the past few years，benefiting from a high demand from both risk managers and traders.

目录

封面

声明

答辩决议书

目录

英文摘要

中文摘要

1 Introduction

1.1 Background

1.2 Literature Review

1.3 Problem formulation and structure overview

2 FX options market

2.1 FX options market in the world

2.2 FX options market in Asia

2.3 FX options market in China

3 Pricing and hedging FX options under stochastic volatil-ity

3.1 The Black-Scholes model

3.2 Needs for better pricing and hedging models

3.3 Stochastic volatility models at a glance

3.4 The Heston model

3.5 The Bates model

4 Data set

4.1 Historical exchange rates

4.2 Risk-free rates

4.3 Options prices and implied volatility

4.4 Testing period

4.5 Utilization of the sample

5 Calibration of the models

5.1 Purpose of the calibration

5.2 Calibration procedure

5.3 Results of the calibration

5.4 Out-of-sample test

5.5 From empirical findings to trading perspectives

6 Simulation

6.1 Simulating the Black-Scholes model

6.2 Simulating the Heston model

6.3 Simulating the Bates model

6.4 Distribution of the returns

7 Hedging effectiveness

7.1 Selection of target options

7.2 Selection of hedging strategies

7.3 Test results

7.4 From empirical findings to trading perspectives

8 Conclusion

参考文献

致谢

11 Appendix

11.1 Calibration of the models-MATLAB code

11.2 Monte Carlo simulation-MATLAB code