A Brief Analysis of Option Implied Volatility and Strategies

• 作者: Zhou Heng
• 来源期刊: 经济世界：英文版
• 学科: 经济
• 关键词: FINANCIAL DERIVATIVES OPTION PRICING OPTION STRATEGIES
• 年，卷（期）: jjsjywb_2018,（4）
• 页码范围: 331-336
• 页数: 6页
• 分类号: F

摘要

With the implementation of reform of financial system and the opening-up of financial market in China,knowing and properly utilizing financial derivatives becomes an inevitable road.The phenomenon of B-S-M option pricing model underpricing deep-in/out option prices is called volatility smile.The substantial reasons are conflicts between model’s presumptions and reality;moreover,the market trading mechanism brings extra uncertainties and risks to option writers when doing delta hedging.Implied volatility research and random volatility research have been modifying B-S-M model.Giving a practical case may let reader have an intuitive and in-depth understanding.