期权“隐含波动率微笑”成因分析  

An Analysis of the Determinants of Implied Volatility Smile on Stock Option

作　　者：张晓蓉[1] 

机构地区：[1]复旦大学管理学院财务金融系

出　　处：《上海管理科学》2003年第4期7-9,共3页Shanghai Management Science

摘　　要：Black-Scholes期权定价模型低估深实值和深虚值期权的现象称为“波动率微笑”。其主要原因是资产价格过程假设和市场机制因素给期权卖方的△套期保值带来了额外风险和成本。确定波动率和随机波动率研究都对BS模型做出了修正。Volatility smile' occurs when Black - Scholes Model tends to undervalue deep in and out -of -money options. It results from the fact that both the real distribution of asset prices and the market microstructure including transaction costs bring extra risks and costs in option writer's Ahedging. Both deterministic and stochastic volatility models make improvements in option pricing.

关 键 词：BLACK-SCHOLES 期权定价模型 “波动率微笑” 隐含波动率 资产价格过程 市场交易机制 确定波动率 随机波动率 

分 类 号：F830.9[经济管理—金融学]