135****0150
2025-02-25 08:12作為期權(quán)定價(jià)公式中的一個(gè)因素，隱 含波動(dòng)性可用于衡量標(biāo)的資產(chǎn)的預(yù)期風(fēng)險(xiǎn)。這句話怎么理解？
所屬：CFA Level I > Derivatives 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
2個(gè)回答
Essie助教
2025-02-25 10:17
該回答已被題主采納
同學(xué)你好，隱含波動(dòng)率是期權(quán)定價(jià)模型中的一個(gè)參數(shù)，它表示市場(chǎng)參與者對(duì)標(biāo)的資產(chǎn)未來(lái)價(jià)格波動(dòng)的預(yù)期。隱含波動(dòng)率越高，意味著市場(chǎng)預(yù)期標(biāo)的資產(chǎn)未來(lái)的價(jià)格波動(dòng)越大，即風(fēng)險(xiǎn)越高；隱含波動(dòng)率越低，意味著市場(chǎng)預(yù)期標(biāo)的資產(chǎn)未來(lái)的價(jià)格波動(dòng)越小，即風(fēng)險(xiǎn)越低。
-
追問(wèn)
麻煩把定價(jià)公式列出來(lái)，并列示隱含波動(dòng)率這個(gè)參數(shù)是哪個(gè)？
-
追答
以看漲期權(quán)為例，下圖是BSM模型，給定期權(quán)的市場(chǎng)價(jià)格c0，以及其他參數(shù)S0，Rfc，T。根據(jù)BSM倒推出公式中的sigma，就叫做隱含波動(dòng)率。公式是二級(jí)才會(huì)學(xué)習(xí)的。
一級(jí)了解概念即可，也有有其他伙伴貼了英文的定性描述。
0
0
0
0
180****8696
2025-02-25 19:16該回答已被題主采納
The implied volatility in an option pricing model represents the market's expectations of the future volatility (or risk) of the underlying asset. It is derived from the price of the option itself, as it reflects the consensus of all market participants regarding how much the asset's price might fluctuate over the life of the option. A higher implied volatility suggests that the market expects greater fluctuations in the asset’s price, which increases the value of options, particularly call and put options, because higher volatility increases the likelihood of the option finishing in-the-money. In this way, implied volatility serves as a measure of the anticipated risk, as it quantifies the uncertainty about the asset’s future price movements.
0
0
0
0
