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首页> 外文期刊>The North American journal of economics and finance >An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets
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An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

机译：隐含波动率跳跃动力学分析：原油市场中的新型功能数据表示

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The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007-2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods. (C) 2015 Elsevier Inc. All rights reserved.
机译：资本市场的主要担忧是价格飙升。商品市场的不同之处在于，人们担心会出现上下跳动，这导致隐含波动率曲线与股票市场相比呈现出不同的形状。新颖的功能数据分析（FDA）方法的使用提供了一个框架，用于产生和解释表征石油未来期权潜在动态的功能对象。我们使用FDA框架来检查原油市场内的隐含波动率，跳跃风险和定价动态。对包括全球金融危机和阿拉伯之春在内的2007-2013年WTI原油样本进行检查，发现有强有力的证据表明，在需求和供应端疲软期间，逆向跳跃动态。这被用作FDA衍生的Merton（1976）跳跃扩散优化的delta套期保值策略的基础，与传统方法相比，该策略显示出优异的资产组合管理结果。 （C）2015 Elsevier Inc.保留所有权利。

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