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| 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: | [金融學系] 學位論文
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