基于期指随机定价模型的A股市场风险度量研究  

Research of A share market risk measurement based on future index random pricing mode

作　　者：兰春华 陈天发[2] 

机构地区：[1]广东省交通集团 [2]中山大学管理学院

出　　处：《特区经济》2013年第11期61-64,共4页Special Zone Economy

摘　　要：本文从期权定价模型的理论基础出发,首先介绍我国股指期货市场的发展情况,并引出股指期货理论研究的进展情况,然后从逆向思维的角度,通过运用期货随机定价模型对我国唯一的沪深300指数期货进行实证分析研究,试图推算出股指期货中的隐含波动率,获得该隐含波动率在反映未来市场波动风险方面的特性,为将来构造VIX指标寻找到适合的因子。On the basis of the option pricing model,this article first introduces the development of China＇s stock index futures market, and then leads to the theoretical research progress of stock index futures.An empirical study is made in the aspect of converse thought by using stock index futures random pricing model based on the CSI 300 index futures. This article tries to calculate the implied volatility in order to obtain the implied volatility attributes in reflecting the future risk of market fluctuations, and makes sure that this implied volatility is capable in measuring future risk and suitable to construct VIX index.

关 键 词：股指期货定价 随机定价模型 隐含收益率 隐含波动率 风险度量 

分 类 号：F832.51[经济管理—金融学] F224