应用于外汇市场的多元随机波动模型

IF 0.7 4区经济学 Q4 BUSINESS, FINANCE

Review of Derivatives Research Pub Date : 2017-03-20 DOI:10.1007/s11147-017-9132-8

Marcos Escobar, Christoph Gschnaidtner

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引用次数: 0

摘要

本文的主要目的是研究多变量随机波动率模型（即主成分随机波动率（PCSV）模型）与外汇汇率的普通虚值期权市场数据的每日校准行为。为此，引入了描述外汇市场的一般环境。对两个适当的模型--PCSV 和一个更简单的多元赫斯顿模型--进行了调整，以适应外汇市场的环境。对于这两个模型，我们都找到了特征函数，从而可以利用傅立叶技术对期权价格进行几乎瞬时的计算。在介绍了一般校准程序之后，对多元海斯顿模型和 PCSV 模型都进行了校准，校准了三种汇率--美元-瑞典克朗、欧元-瑞典克朗和欧元-美元--的期权数据时间序列，时间跨度超过 11 年。最后，我们强调了 PCSV 模型的优势，我们发现该模型在复制这些期权的动态方面优于 Heston 模型的多元扩展。

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A multivariate stochastic volatility model with applications in the foreign exchange market

The main objective of this paper is to study the behavior of a daily calibration of a multivariate stochastic volatility model, namely the principal component stochastic volatility (PCSV) model, to market data of plain vanilla options on foreign exchange rates. To this end, a general setting describing a foreign exchange market is introduced. Two adequate models—PCSV and a simpler multivariate Heston model—are adjusted to suit the foreign exchange setting. For both models, characteristic functions are found which allow for an almost instantaneous calculation of option prices using Fourier techniques. After presenting the general calibration procedure, both the multivariate Heston and the PCSV models are calibrated to a time series of option data on three exchange rates—USD-SEK, EUR-SEK, and EUR-USD—spanning more than 11 years. Finally, the benefits of the PCSV model which we find to be superior to the multivariate extension of the Heston model in replicating the dynamics of these options are highlighted.

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来源期刊

Review of Derivatives Research Multiple-

CiteScore

1.40

自引率

0.00%

发文量

期刊介绍： The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot'' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res