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dc.contributor.advisor陈蓉
dc.contributor.author姚育婷
dc.date.accessioned2017-06-20T08:24:35Z
dc.date.available2017-06-20T08:24:35Z
dc.date.issued2016-07-11
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/130668
dc.description.abstract在金融领域,股票市场经常出现暴涨暴跌,同样地,期货、期权等衍生品也会受到股票涨跌的影响,这种价格的剧烈变动,可以用波动率来衡量。波动率风险溢酬是指投资者承担了波动率风险,要求获得额外的风险补偿。能否有效度量波动率风险溢酬,直接影响了传统资产定价、金融衍生品定价、投资组合风险管理和对冲投资策略等。2015年2月9日,中国市场迎来了第一个场内交易的期权衍生品,波动率风险溢酬的重要性逐渐突显出来。但中国期权挂牌交易至今才1年,运行时间比较短,而且表现出了很多与国外成熟市场不同的特征。因此,本文选择美国市场作为参照对象,比较两个市场波动率风险溢酬的异同点,为探索中国市场波动率风险溢酬提供参考。 本文...
dc.description.abstractThe stock market always booms or collapses. In the same way, futures, options and other derivatives will be influenced by stock price. The dramatic changes of price that can be measured by the volatility. What is Volatility risk premium? It refers to investors who take on the risk of volatility, require additional risk compensation. Whether effectively measure volatility risk premium or not is dir...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=51510&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=57075
dc.subject波动率风险溢酬
dc.subjectDelta中性组合
dc.subjectBuy-Write策略
dc.subjectVolatility Risk Premium
dc.subjectDelta-neutral Portfolio
dc.subjectBuy-Write Strategy
dc.title中美波动率风险溢酬比较
dc.title.alternativeThe Comparison of Volatility Risk Premium between China and America
dc.typethesis
dc.date.replied2016-04-18
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院_金融工程
dc.description.note学号:15620131152103


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