| 隐含波动率的信息含量及其在我国的应用 |
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| 引用本文： | 黄薏舟. 隐含波动率的信息含量及其在我国的应用[J]. 商业经济与管理, 2011, 0(7): 70-76 |
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| 作者姓名： | 黄薏舟 |
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| 作者单位： | 新疆财经大学金融学院,新疆乌鲁木齐,830012 |
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| 基金项目： | 国家自然科学基金面上项目，福建省自然科学基金 |
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| 摘 要： | 国内现有关于波动率的研究多集中于时间序列模型,忽略了另一类预测波动率的方法即隐含波动率法。文章在回顾、评述了国内关于波动率的研究后,对国外关于隐含波动率的研究进行了梳理,为在我国大陆地区发展股指期权市场、通过提高期权市场的效率,以运用隐含波动率法更好地预测波动率提供了理论基础和政策建议。
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| 关 键 词： | 隐含波动率 信息含量 股指期权 |
The Information Content with Implied Volatility and Its Application in China |
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| HUANG Yi-zhou. The Information Content with Implied Volatility and Its Application in China[J]. Business Economics and Administration, 2011, 0(7): 70-76 |
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| Authors: | HUANG Yi-zhou |
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| Affiliation: | HUANG Yi-zhou(School of Finance,Xinjiang University of Finance and Economics,Wulumuqi 830012,China) |
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| Abstract: | Domestic study on the volatility has always been focusing on the time series model,and the implied volatility was omitted.This article reviewed the domestic research of volatility firstly,and then reviewed the foreign study of implied volatility,which gives the theoretical basis and policy advices of establishing stock index option market and forecasting volatility in the future. |
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| Keywords: | implied volatility information content stock index option |
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