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本文指出,在假设未来状态存在模糊性、市场参与者模糊厌恶的情形下,期权价格依然可以写成Black-Scholes-Merton公式的形式;使用期权价格数据可以代替实验室方法有效地度量模糊性和模糊厌恶程度。主要结论是:①期权的隐含波动率为未来风险因素和模糊性因素的叠加,期权隐含波动率与已实现波动率的比值可以代表市场模糊性程度。②期权价格隐含的风险中性概率分布的均值与已实现概率分布的均值之间的差异可以用来测量模糊厌恶程度。
This paper points out that the option price can still be written in the form of the Black-Scholes-Merton formula under the assumption that the future state is ambiguous and the market participants are fuzzy-averse. Using the option price data instead of the laboratory method can effectively measure the ambiguity and ambiguity Degree of disgust. The main conclusions are as follows: ①The implied volatility of options is the superposition of future risk factors and fuzziness factors. The ratio of implied volatility to realized volatility can represent the degree of market ambiguity. ② The difference between the mean of the risk-neutral probability distribution implied by the option price and the mean of the realized probability distribution can be used to measure the degree of fuzzy aversion.