Chinese Journal of Management Science ›› 2024, Vol. 32 ›› Issue (9): 1-10.doi: 10.16381/j.cnki.issn1003-207x.2021.0905
Received:
2021-05-08
Revised:
2022-06-23
Online:
2024-09-25
Published:
2024-10-12
Contact:
Tianyi Wang
E-mail:tianyiwang@uibe.edu.cn
CLC Number:
Sicong Cheng,Tianyi Wang. Overnight Information and Option Pricing Model[J]. Chinese Journal of Management Science, 2024, 32(9): 1-10.
"
期权类型 | 2015/02-2016/01 | 2016/02-2019/12 | 2015/02-2019/12 |
---|---|---|---|
总体 | 11273 | 38425 | 49698 |
(0.4104) | (0.2162) | (0.2602) | |
根据实虚值分类 | |||
虚值(S/K<0.95) | 3647 | 8530 | 12177 |
(0.4660) | (0.2564) | (0.3192) | |
平值(0.95<S/K<1.05) | 4004 | 21046 | 25050 |
(0.3596) | (0.1872) | (0.2147) | |
实值(1.05<S/K) | 3622 | 8849 | 12471 |
(0.4106) | (0.2464) | (0.2941) | |
根据到期时间分类 | |||
短期(DTM<30) | 5092 | 17854 | 22946 |
(0.4364) | (0.2293) | (0.2753) | |
中期(30<DTM<60) | 4794 | 15778 | 20572 |
(0.3922) | (0.2040) | (0.2478) | |
长期(60<DTM) | 1387 | 4793 | 6180 |
(0.3779) | (0.2073) | (0.2456) |
"
参数 | biHN | HN(C-C) | HN(O-C) |
---|---|---|---|
9.318 | 13.678 | 3.613 | |
(56.304) | (3.972) | (22.341) | |
21.487 | |||
(53.059) | |||
0.953 | 0.877 | 0.940 | |
(0.010) | (0.009) | (0.002) | |
0.847 | |||
(0.051) | |||
0.428 | 1.190 | 1.041 | |
(0.266) | (0.050) | (0.023) | |
0.336 | |||
(0.048) | |||
-53.242 | -80.842 | -45.583 | |
(30.878) | (10.259) | (2.017) | |
-162.073 | |||
(52.698) | |||
1.213 | 2.632 | 2.703 | |
(0.600) | (1.287) | (0.172) | |
0.518 | |||
(0.091) | |||
1.094 | 0.943 | 1.162 | |
(0.701) | (0.531) | (0.099) | |
1.043 | |||
(0.586) | |||
0.965 | 0.955 | 0.961 | |
0.935 | |||
51364 | 45023 | 46821 |
"
期权类型 | B-S | biHN | HN(C-C) | HN(O-C) |
---|---|---|---|---|
面板A | ||||
总体 | 8.3718 | 5.5036 | 6.0702 | 6.1089 |
根据实虚值(S/K)分类 | ||||
S/K<0.95 | 9.1080 | 6.4503 | 6.5673 | 6.3543 |
0.95<S/K<1.05 | 8.2707 | 4.7234 | 5.1542 | 5.6633 |
1.05<S/K | 7.8537 | 6.6045 | 8.0003 | 7.1038 |
根据到期时间(DTM)分类 | ||||
DTM<30 | 9.2596 | 5.9095 | 6.3772 | 6.8132 |
30<DTM<60 | 7.6926 | 5.2386 | 5.8688 | 5.6075 |
60<DTM | 6.9064 | 5.0034 | 5.7265 | 5.4066 |
面板B | ||||
总体 | 6.5362 | 4.2238 | 4.7102 | 4.8886 |
根据实虚值(S/K)分类 | ||||
S/K<0.95 | 6.0652 | 4.7793 | 5.0019 | 5.0254 |
0.95<S/K<1.05 | 6.9946 | 3.6974 | 4.1027 | 4.4145 |
1.05<S/K | 5.9000 | 5.2846 | 6.3159 | 6.1952 |
根据到期时间(DTM)分类 | ||||
DTM<30 | 7.0043 | 4.4787 | 4.8930 | 5.1437 |
30<DTM<60 | 6.2898 | 4.0257 | 4.5449 | 4.7175 |
60<DTM | 5.6036 | 4.0650 | 4.6707 | 4.6373 |
"
期权类型 | B-S | biHN | HN(C-C) | HN(O-C) |
---|---|---|---|---|
面板A | ||||
总体IVRMSE | 9.3847 | 5.7051 | 6.0677 | 6.6961 |
根据实虚值(S/K)分类 | ||||
S/K<0.95 | 10.9032 | 6.9014 | 7.0366 | 8.4420 |
0.95<S/K<1.05 | 8.2307 | 4.8704 | 5.4668 | 5.8684 |
1.05<S/K | 10.3251 | 6.3894 | 6.7031 | 6.8651 |
根据到期时间(DTM)分类 | ||||
DTM<30 | 10.5593 | 6.2785 | 6.4682 | 7.1358 |
30<DTM<60 | 8.4070 | 5.3230 | 5.8097 | 6.3669 |
60<DTM | 7.6180 | 4.8879 | 5.5133 | 6.2733 |
面板B | ||||
总体 | 7.1127 | 4.1405 | 4.4831 | 5.0931 |
根据实虚值(S/K)分类 | ||||
S/K<0.95 | 8.2374 | 4.9304 | 5.0753 | 6.5256 |
0.95<S/K<1.05 | 6.2917 | 3.6291 | 4.0913 | 4.4761 |
1.05<S/K | 7.9769 | 4.9724 | 5.1396 | 5.4309 |
根据到期时间(DTM)分类 | ||||
DTM<30 | 7.9706 | 4.3578 | 4.6070 | 5.2151 |
30<DTM<60 | 6.4861 | 4.0121 | 4.4171 | 4.9897 |
60<DTM | 5.9778 | 3.8515 | 4.2925 | 5.0405 |
"
期权类型 | 看涨期权 | 看跌期权 | ||||||
---|---|---|---|---|---|---|---|---|
B-S | biHN | HN(C-C) | HN(O-C) | B-S | biHN | HN(C-C) | HN(O-C) | |
面板A | ||||||||
总体 | 8.2348 | 5.5361 | 5.6405 | 5.8873 | 8.4992 | 5.2904 | 5.7761 | 5.8916 |
根据实虚值(S/K)分类 | ||||||||
S/K<0.95 | 7.5455 | 5.9979 | 5.8101 | 6.1789 | 12.0656 | 8.2838 | 8.4724 | 8.5239 |
0.95<S/K<1.05 | 8.7086 | 4.8199 | 4.9064 | 5.1321 | 7.8182 | 4.7684 | 5.3130 | 5.3969 |
1.05<S/K | 7.7277 | 7.8970 | 8.8548 | 9.0249 | 7.8956 | 4.7502 | 5.1937 | 5.4317 |
根据到期时间(DTM)分类 | ||||||||
DTM<30 | 8.7266 | 5.9964 | 5.9771 | 6.3638 | 9.7212 | 5.6729 | 6.2894 | 6.3864 |
30<DTM<60 | 7.9507 | 5.2239 | 5.4202 | 5.5793 | 7.4389 | 5.0459 | 5.4695 | 5.5737 |
60<DTM | 7.2943 | 5.0722 | 5.3163 | 5.4099 | 6.4763 | 4.6543 | 4.8321 | 5.0841 |
面板B | ||||||||
总体 | 6.6225 | 4.3373 | 4.4423 | 4.6774 | 6.4546 | 4.0288 | 4.4731 | 4.5455 |
根据实虚值(S/K)分类 | ||||||||
S/K<0.95 | 5.5035 | 4.7804 | 4.6531 | 4.9911 | 7.4170 | 5.5686 | 5.6756 | 5.5454 |
0.95<S/K<1.05 | 7.4108 | 3.8077 | 3.8964 | 4.1214 | 6.5869 | 3.8807 | 4.4417 | 4.4340 |
1.05<S/K | 5.9645 | 6.4559 | 7.5240 | 7.5965 | 5.8782 | 3.7321 | 4.0257 | 4.3402 |
根据到期时间(DTM)分类 | ||||||||
DTM<30 | 6.8647 | 4.5948 | 4.6512 | 5.0135 | 7.1319 | 4.1270 | 4.6855 | 4.7497 |
30<DTM<60 | 6.5799 | 4.1474 | 4.2905 | 4.4506 | 6.0139 | 3.9807 | 4.4086 | 4.4539 |
60<DTM | 5.9129 | 4.1820 | 4.3188 | 4.4390 | 5.2804 | 3.8425 | 3.9467 | 4.1415 |
"
期权类型 | 看涨期权 | 看跌期权 | ||||||
---|---|---|---|---|---|---|---|---|
B-S | biHN | HN(C-C) | HN(O-C) | B-S | biHN | HN(C-C) | HN(O-C) | |
面板A | ||||||||
总体 | 9.6954 | 5.5394 | 5.9956 | 6.0065 | 9.0811 | 5.6522 | 5.9724 | 6.1467 |
根据实虚值(S/K)分类 | ||||||||
S/K<0.95 | 10.4607 | 5.4504 | 6.2395 | 5.7962 | 11.9003 | 6.0134 | 7.9779 | 8.1799 |
0.95<S/K<1.05 | 8.9286 | 5.0347 | 5.4321 | 5.6096 | 7.4842 | 5.0284 | 5.5723 | 5.8590 |
1.05<S/K | 10.9033 | 8.1020 | 8.3468 | 8.5567 | 10.1232 | 5.4570 | 5.7604 | 5.7141 |
根据到期时间(DTM)分类 | ||||||||
DTM<30 | 10.4940 | 5.8486 | 6.1841 | 6.1404 | 10.6186 | 6.1022 | 6.2870 | 6.5105 |
30<DTM<60 | 9.1632 | 5.4418 | 5.8029 | 5.9942 | 7.6169 | 5.3145 | 5.7110 | 5.9556 |
60<DTM | 8.3279 | 4.8888 | 6.0270 | 5.6420 | 6.7976 | 5.0946 | 5.6996 | 5.4291 |
面板B | ||||||||
总体 | 7.4786 | 4.5145 | 4.8003 | 4.9447 | 6.7666 | 4.2825 | 4.3474 | 4.5919 |
根据实虚值(S/K)分类 | ||||||||
S/K<0.95 | 8.0578 | 4.5812 | 5.0426 | 5.4008 | 8.6693 | 4.2401 | 5.5309 | 5.8361 |
0.95<S/K<1.05 | 6.8647 | 4.0716 | 4.4170 | 4.4792 | 5.7304 | 3.7765 | 4.0989 | 4.4119 |
1.05<S/K | 8.7765 | 6.5995 | 6.6473 | 6.8655 | 7.7078 | 4.3170 | 4.3442 | 4.4358 |
根据到期时间(DTM)分类 | ||||||||
DTM<30 | 8.0675 | 4.5508 | 4.8092 | 5.0011 | 7.8819 | 4.5254 | 4.5451 | 4.8010 |
30<DTM<60 | 7.1216 | 4.5367 | 4.7944 | 4.9275 | 5.8807 | 4.0919 | 4.1859 | 4.5025 |
60<DTM | 6.5490 | 4.3414 | 4.7933 | 4.8368 | 5.3811 | 4.0778 | 4.2013 | 4.1614 |
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