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主题:Trading the Option Implied Volatility Smirk Using Firm Fundamentals

主讲人:University of Sussex  Ding Chen助理教授

主持人:经济数学学院 马敬堂教授

时间:2019年7月4日(周四) 下午4:00-5:00

地点:西南财经大学柳林校区通博楼B412会议室

主办单位:经济数学学院 科研处



内容提要:

We investigate whether fifirm fundamentals can explain the shapes of option-implied volatility (IV) function. We extend Geske (1997) compound option model to show how fifirm fundamentals are incorporated into the prices of equity and equity options, and how the shape of IV curve can vary across fifirms with difffferent leverage, dividend policy, cost of capital and maturity of debt. Empirical analyses show that fifirm fundamentals are important determinants of the IV curve even after controlling for realized moments, realized jumps, risk-neutral moments and systematic risk. Fundamental-based model is superior in predicting the IV curve than models based purely on statistical measures.


主讲人简介:

陈鼎博士毕业于英国诺丁汉大学商学院获金融学博士学位,硕士毕业于英国诺丁汉大学数学学院获数学硕士学位,本科毕业于英国帝国理工学院获数学学士学位,博士毕业至今在University of Sussex任助理教授。陈鼎博士的研究方向为资产定价、金融衍生品定价、金融工程及证券市场微观结构的研究。现已在Journal of Financial Economics, Journal of Derivatives, International Review of Financial Analysis等期刊杂志上发表多篇文章。