目录
摘要Ⅲ
关键词Ⅲ
AbstractⅣ
引言
引言1
1中美外汇交易市场背景概括1
1.1 外汇交易市场 2
1.2 外汇期权研究背景2
2建立制度转换(RS)模型2
2.1模型原理2
2.2 定价与套期方案3
2.2.1 BS(Black and Scholes)定价4
2.2.2 鞅方法4
2.2.3 一阶近似(Approximated RS)方法5
2.2.4 二次对冲5
3 基于模拟数据的套期6
3.1 无跳跃情况6
3.2 有跳跃情况7
3.3 计算时间7
4 真实市场数据的校准8
4.1 数据获取 8
4.2 数据分析9
4.3 定价与Delta的校准10
4.4 单一到期日的隐含波动率校准 16
4.5 套期表现的校准18
5 结论19
结语20
致谢20
参考文献21
附录23
基于RS模型校准中美外汇交易市场定价
和套期表现的精确性的研究
摘要
随着当今科技和经济的快速发展，全球化已经变成必然的结果和趋势，我国与别的国家的经济往来已是家常便饭。汇率作为外汇交易市场的中心，往往是人们讨论的重点，但汇率并不是表面的那么固定。本文研究了基于制度转换（RS）模型下，校准中美外汇交易市场定价和套期表现的精确性和绩效。针对定价方面，比较确切的RS定价公式和一阶近似RS公式校准期权价格的精确性，发现两种方法精确性都较高。而在隐含波动率的校准中，将传统的SABR模型作为对照，发现一阶近似RS效果很差，而确切的RS定价公式十分准确且优于传统模型。在套期保值策略方面，比较BS，RS与一阶近似RS方法，发现三种方法的校准的精确性都较高。而在运算时间方面，一阶近似RS和BS要远远快于确切的RS的套期策略。这些研究有助于深入了解外汇市场的运行，进而改进套期模式。
Resea *51今日免费论文网|www.51jrft.com +Q: #351916072# 
rch on the Accuracy of Pricing and Hedging Performance of SinoUS Foreign Exchange Market Based on RS Model
Author: Jiang Jinyang Instructor: Chen Zhi
ABSTRACT
With the rapid development of science and technology and economy, globalization has become an inevitable result and trend. Chinas economic exchanges with other countries have become commonplace. As the center of the foreign exchange market, the exchange rate is often the focus of discussion, but the exchange rate is not as fixed as the surface. This paper studies the accuracy and performance of calibrating SinoUS pegged foreign exchange market pricing and hedging performance based on the institutional transformation (RS) model. In terms of pricing, comparing the accuracy of the RS pricing formula and the firstorder approximated RS formula to calibrate option prices, it is found that both methods have higher accuracy. In the calibration of implied volatility, the traditional SABR model is used as a control, and it is found that the firstorder approximated RS is very poor, and the exact RS pricing formula is very accurate and superior to the traditional model. In terms of hedging strategies, comparing the BS, RS and firstorder approximated RS methods, it is found that the calibration accuracy of the three methods is higher. In terms of computing time, the firstorder approximated RS and BS are much faster than the precise RS hedging strategy. These studies help to gain a deeper understanding of the operation of the foreign exchange market and thus improve the hedging model.
KEY WORDS：RS model，foreign exchange market，pricing，hedging，firstorder approximation

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