駝峯定態模型下之利率選擇權的評價及避險表現

Pricing and Hedging Interest Rate Options under Deterministic Volatility Function with Volatility Humps

本研究測試數個在駝峯下之隱含的定態波動函數，在評價及避險不同價性及期間之歐元利率選擇權的表現。本文章主要的貢獻有四方面，i） 測試數個駝峯波動函數，ii）評估數個一因子及多因子定態波動模型之評價及避險不同的價性及期間之利率選擇權，iii）發現了一因子定態模型在評價上表現比多因子模型好，但多因子模型在避險上則較佳，iv）包含了遠期利率水準及價性因子在一因子模型中評價表現最佳。本研究最終發現正確的標示一因子模型在評價上可能取代多因子模型，但一因子模型在樣本外之表現則趨向不穩定。

This study tests several competing models under implied deterministic volatility function (DVF) with hump volatility structure in their time series performance of pricing and hedging Euribor options market across moneyness and maturities. The primary contributions of this paper are: (i) to test alternative hump volatility functions proposed in previous studies, (ii) to evaluate one- and multi-factor DVF models in pricing and hedging options with moneyness and time, (iii) to find that single-factor DVF models outperform multi-factor in pricing whereas in hedging, the multi-factor models are better, and (iv) to find the level of forward rate and the variable of moneyness in the single-factor model yielding the best pricing performance. Also, when one-factor models are correctly specified, they may replace multi-factor models in pricing, but tend to be unstable beyond these samples.