An Investigation of Implied Volatility During Financial Crisis:Evidence From Australian Index Options

机译：金融危机期间隐含波动的调查：来自澳大利亚指数选择的证据

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Volatility implied by an option pricing model is seen as the market participants' assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis.

机译：选项定价模型所暗示的波动性被视为市场参与者对波动性的评估。过去的研究记录了基于期权定价模型的暗示波动性，以优于预测未来实现波动性的历史波动性。因此，本研究审查了2001年至2010年澳大利亚标准普尔200指数方案中隐含的波动性笑容和术语结构，涵盖了2007年中期的全球金融危机直到2008年底。结果表明在危机期间，暗示波动显着上升，这是危机前的三次速度。

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《International Conference on Fundamental and Applied Sciences》|2014年||共6页
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Mimi Hafizah Abdullah; Hanani Farhah Harun;
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中图分类 TB11-532;
关键词
market; historical; implied;

机译：市场;历史;暗示;

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1. Implied volatility smiles, option mispricing and net buying pressure: evidence around the global financial crisis [J] . J. Larkin, A. Brooksby, C. T. Lin, Accounting and finance . 2012,第1期

机译：隐含的波动性微笑，期权定价错误和净买入压力：有关全球金融危机的证据
2. The relationship between implied and realized volatility: evidence from the Australian stock index option market [J] . Steven Li, Qianqian Yang Review of quantitative finance and accounting . 2009,第4期

机译：隐含波动率和实际波动率之间的关系：来自澳大利亚股票指数期权市场的证据
3. Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis [J] . Cho-Hoi Hui, Chi-Fai Lo, Chun-Sing Lau Journal of banking & finance . 2013,第9期

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4. An Investigation of Implied Volatility During Financial Crisis:Evidence From Australian Index Options [C] . Mimi Hafizah Abdullah, Hanani Farhah Harun International Conference on Fundamental and Applied Sciences . 2014

机译：金融危机期间隐含波动的调查：来自澳大利亚指数选择的证据
5. Three essays in mathematical finance: A risk-neutral stochastic volatility model: Analytical and statistical studies. E-ARCH model for term-structure of implied vol of foreign exchange options. A numerical scheme for pricing Asian options. [D] . Zhu, Yingzi. 1997

机译：数学金融方面的三篇论文：风险中性随机波动率模型：分析和统计研究。隐含的外汇期权交易量的期限结构的E-ARCH模型。亚洲期权定价的数字方案。
6. Occupational class differences in suicide: evidence of changes over time and during the global financial crisis in Australia [O] . Alison J. Milner, Heather Niven, Anthony D. LaMontagne 2015

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7. ESTIMATION OF IMPLIED VOLATILITY SURFACE AND ITS DYNAMICS: EVIDENCE FROM SP 500 INDEX OPTION IN POST-FINANCIAL CRISIS MARKET [O] . Shouting Sun, Sijia Ji 2015

机译：隐含波动率表面及其动力学的估计：金融危机后市场中S＆P 500指数期权的证据
8. Option Prices with Uncertain Fundamentals. Theory and Evidence on the Dynamics of211 Implied Volatilities [R] . David, A., Veronesi, P. 1999

机译：具有不确定基本面的期权价格。关于211隐含波动性动力学的理论与实证

An Investigation of Implied Volatility During Financial Crisis:Evidence From Australian Index Options

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