CAJ | 학술논문

本文以人民币对美元的汇率和人民币对外汇期权推出以来的市场价格为基础，构建了人民币对美元汇率的随机波动率模型，并模拟出人民币对美元汇率的稳态分布和均衡波动率曲面。对期权的执行价和波动率等变量回归发现，波动率变动有执行价粘性和delta粘性的双重特点，delta粘性特点尤其显著。在对隐含波动率曲面的分析中，本文试图通过寻找套利机会来验证市场无效，结果发现，用垂直套利、跨期套利和分布套利三种方法都可以实现显著收益。
본문이인민폐대미원적회솔화인민폐대외회기권추출이래적시장개격위기출，구건료인민폐대미원회솔적수궤파동솔모형，병모의출인민폐대미원회솔적은태분포화균형파동솔곡면。대기권적집행개화파동솔등변량회귀발현，파동솔변동유집행개점성화delta점성적쌍중특점，delta점성특점우기현저。재대은함파동솔곡면적분석중，본문시도통과심조투리궤회래험증시장무효，결과발현，용수직투리、과기투리화분포투리삼충방법도가이실현현저수익。
This paper bases on the exchange rate data and the market data of RMB foreign exchange options, constructs a stochastic volatihty model of the RMB exchange rate against the dollar and simulate the path of vol- atility, obtains the steady - state distribution of exchange rate and equilibrium volatility surface. The regress of the strike price and the volatility indicates that volatility has features of sticky strike and sticky delta, and the feature of sticky delta is more obvious. When analyzing imply volatility surface, we tried vertical arbitrage, cal- endar arbitrage and distribution arbitrage. All arbitrage strategies can generate positive returns.