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计算波动率的六种方法,计算隐含波动率,凤凰期权的定价,编制基于50ETF期权的VIX指数

Python 100.00%

volatility-and-option's Introduction

data

包含各个程序运行需要的数据,以及用于展示结果的一些图表

  1. Excel文件为最原始的从wind导出的数据
  2. h5文件则主要经过整理后的可以直接使用的数据,读取速度更快

volatility measurements

计算波动率的六种方法:

(1) Realized

(2) Parkinson

(3) Garman-Klass

(4) Roger-Satchell

(5) Garman-Klass -Yang-Zhang

(6) Yang-Zhang

以2005.01-2018.09的中证500指数的OHLC数据,进行了测试

implied volatility

构造一个期权,利用实盘价格作为路径,以Monte-Carlo模拟和期权动态对冲为基础,计算中证500指数的隐含波动率;

volatility index

按照两种方式编制基于50ETF期权的VIX指数,采用的是日频数据,指数的最高点出现在2015年8月25左右,当前(2018年9月21日)为20点左右;

phoenix autocall

通过蒙特卡洛模拟对凤凰期权进行定价,计算delta值

volatility-and-option's People

Contributors

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