政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/146601

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/146601

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/146601

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/146601

Title:	基於隱含隨機波動度模型之最小變異 Delta 避險策略 —以外匯選擇權市場為例 Minimum-Variance Delta Hedging Strategy based on Implied Stochastic Volatility Model : An Empirical Study on the FX Options Market
Authors:	林崇仁 Lin, Chung-Jen
Contributors:	林士貴羅秉政 Lin, Shih-Kuei Kendro Vincent 林崇仁 Lin, Chung-Jen
Keywords:	外匯市場隨機波動度模型最小變異 Delta 避險 Forex Stochastic Volatility Model Minimum Variance Delta Hedge
Date:	2023
Issue Date:	2023-08-02 14:11:33 (UTC+8)
Abstract:	本研究以外匯市場中USD/JPY作為研究對象，在模型方面，採用Aït-Sahalia et al.(2021)提出的Implied Stochastic Volatility Model(ISVM)，透過提出新的估計方法來建構隱含波動度曲面，與Heston模型進行模型比較，探討兩模型於隱含波動度曲面上之樣本內配適情形。而在風險管理方面，透過Minimum Variance Delta避險策略，相對於一般常見的Delta避險策略，不同的地方在於其除了考慮在資產價格變動下投資組合的影響外，亦同時考慮資產價格變動對於隱含波動度之影響考慮資產價格變化對於隱含波動度之影響。由實證結果顯示，在模型配適上，ISVM模型配適結果優於Heston模型。而在避險績效上，使用MV Delta避險策略之避險效果優於一般Delta避險策略，其中又以ISVM 模型最佳。此外，透過拆分subsample探討在極端的金融環境下，亦可發現不論是Heston模型或是ISVM模型，在高波動時期相比於低波動之穩定時期之績效表現較佳。 This study focuses on the USD/JPY pair in the foreign exchange market. In terms of model construction, we adopt the Implied Stochastic Volatility Model (ISVM) as proposed by Aït-Sahalia et al. (2021). We compare this model to the Heston model to examine their respective fitness on the implied volatility surface. Empirical results indicate that the ISVM model outperform the Heston model. In terms of risk management, we adopt the Minimum Variance Delta hedging strategy, which distinguishes itself from conventional Delta hedging by consider- ing not only the influence of asset price changes on the portfolio but also the impact of these price changes on implied volatility. Our empirical results demonstrate that the hedging performance using the MV Delta strategy outperforms that of the conventional Delta hedging strategy, with the ISVM model performing optimally. Moreover, by splitting into subsamples to investigate under extreme financial conditions, we observe that both the Heston and ISVM models perform better during periods of high volatility as compared to periods of low and stable volatility.
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Description:	碩士國立政治大學金融學系 110352029
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0110352029
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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