CN110363664A - A kind of option stability bandwidth automatic Matching Method and system - Google Patents
A kind of option stability bandwidth automatic Matching Method and system Download PDFInfo
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Abstract
The invention discloses a kind of option stability bandwidth automatic Matching Method and systems, realize the full-range automation of option trade, improve the availability and ease for use of transaction software.Its technical solution are as follows: the first step selects suitable data from given option series, constitutes the implied volatility sequence that fitting algorithm input needs；The data of implied volatility sequence are fitted to stability bandwidth model parameter by second step；Third step, to the availability deciding of stability bandwidth model parameter.
Description
Technical field
The present invention relates to the technologies of option trade automation, and in particular to option stability bandwidth automatic Matching Method and system.
Background technique
Financial derivatives plays increasingly crucial effect in capital market as a kind of important risk management tool.
In recent years, the capital Market Development in China is rapid, and option on commodity futures product expands rapidly, stock index type of financial spin-off and interest rate
The trade varieties such as spin-off also increasingly enrich, and wherein the development of options products is especially prominent, and the abundant of options products type is brought
Be increasing rapidly for trading volume, while also to relevant option trade software, more stringent requirements are proposed.
The most important step of transaction finance assets is exactly that assets itself are carried out with reasonable valuation and price, by many years
Development, has emerged the theoretical pricing algorithm for different types of options products, in general, the theory of option in the market
The relating to parameters such as price, stability bandwidth, remaining maturity, exercise price, the interest rate of valence and target contract.Option trade person in addition to
It is also very sensitive to the speed of market price development except interested in the direction of market price development.If target contract city
Field price drops speed is not fast enough, then the options worth based on the target contract will reduce, because of target conract market valence
The probability that lattice reach option exercise price reduces.To a certain extent, stability bandwidth is estimating for market price pace of change.Valence
It is low fluctuation ratio market that lattice, which change slower market, and the faster market of price change is high stability bandwidth market.From real trade
Angle analysis, option most important properties are stability bandwidths, and the transaction to option is exactly the transaction to stability bandwidth.How correctly to assess simultaneously
Predict that the variation of stability bandwidth is most important for dealer.
Implied volatility (implied volatility) refers to the stability bandwidth being reversely pushed out from the market price of option,
And stability bandwidth fitting is exactly to find the part for being wherein overestimated and underestimating by analysis implied volatility, provide a more adduction
The theoretical stability bandwidth curve of reason, Volatility Smile (volatility smile) is exactly for portraying execution of future rights valence and stability bandwidth
Between variation relation: the different option of strike price with identical Expiration Date and target assets, strike price deviate target
Assets spot price is remoter, and implied volatility is bigger.
Variation occurs for the market environment moment, these information will all reflect onto market price price, and further feeds back to hidden
Containing on stability bandwidth, implied volatility is converted into theoretical stability bandwidth by fitting, then theoretical prince is calculated, trading strategies according to
Theoretical valence assessment dealing chance completes final declaration form, and which forms a complete transaction whole processes, as shown in Figure 1.
Summary of the invention
A brief summary of one or more aspects is given below to provide to the basic comprehension in terms of these.This general introduction is not
The extensive overview of all aspects contemplated, and be both not intended to identify critical or decisive element in all aspects also non-
Attempt to define the range in terms of any or all.Its unique purpose is to provide the one of one or more aspects in simplified form
A little concepts are with the sequence for more detailed description given later.
The purpose of the present invention is to solve the above problem, provides a kind of option stability bandwidth automatic Matching Method and system,
It realizes the full-range automation of option trade, improves the availability and ease for use of transaction software.
The technical solution of the present invention is as follows: present invention discloses a kind of option stability bandwidth automatic Matching Methods, comprising:
The first step selects suitable data from given option series, constitutes the implicit fluctuation that fitting algorithm input needs
Rate sequence；
The data of implied volatility sequence are fitted to stability bandwidth model parameter by second step；
Third step, to the availability deciding of stability bandwidth model parameter.
One embodiment of option stability bandwidth automatic Matching Method according to the present invention, the first step further comprises:
Carry out option contract selection；
Carry out option premium selection；
Setting filter condition is filtered, and filters out valid data, forms the sequence of one group of strike price and implied volatility.
One embodiment of option stability bandwidth automatic Matching Method according to the present invention, second step further comprises:
Stability bandwidth model is selected, wherein stability bandwidth model is the wing mould with reference to the four-part form of stability bandwidth smile characteristics design
Type；
Fitting parameter is set, center of curve point and strike price range parameter are set in wing model；
Implied volatility is converted into corresponding stability bandwidth model parameter by fitting algorithm.
One embodiment of option stability bandwidth automatic Matching Method according to the present invention, fitting algorithm further comprises:
According to the strike price range of fitting parameter, the parameter of two cut offs is obtained；
The transformation of natural logrithm is done to each strike price；
Mean square error is calculated according to the curve equation of the part Call wing；
To keep mean square error minimum, the parameter of slope and call_curvature is obtained according to the minimum of mean square error
Value, wherein slope parameter is the tangent slope at the point m of wing model curve, and call_curvature parameter is wing model
The curvature of the part call wing of curve.
One embodiment of option stability bandwidth automatic Matching Method according to the present invention, third step further comprises:
According to stability bandwidth model parameter, wing model curve is drawn out；
It substitutes into the curve equation of wing model and obtains as abscissa point after using each strike price to make natural logrithm transformation
To ordinate, ordinate is theoretical stability bandwidth；
According to the corresponding theoretical stability bandwidth of each strike price and implied volatility, irrelevance is calculated；
Irrelevance is judged whether within the threshold range of setting, when irrelevance is less than threshold value, the corresponding theoretical wave of output
Dynamic rate；If irrelevance is greater than threshold value, it is fitted again after returning to second step adjusting parameter.
Present invention further teaches a kind of option stability bandwidth automatic Fitting systems, comprising:
Sequence composition module selects suitable data from given option series, constitutes the hidden of fitting algorithm input needs
Sequence containing stability bandwidth；
The data of implied volatility sequence are fitted to stability bandwidth model parameter by parameter fitting module；
Availability deciding module, to the availability deciding of stability bandwidth model parameter.
One embodiment of option stability bandwidth automatic Fitting system according to the present invention, Sequence composition module further comprises:
Contract choice unit carries out option contract selection；
Price selecting unit carries out option premium selection；
Filter element, setting filter condition are filtered, and filter out valid data, form one group of strike price and implicit fluctuation
The sequence of rate.
One embodiment of option stability bandwidth automatic Fitting system according to the present invention, parameter fitting module further comprises:
Model selection unit selects stability bandwidth model, and wherein stability bandwidth model is designed with reference to stability bandwidth smile characteristics
The wing model of four-part form；
Center of curve point and strike price range parameter is arranged in fitting parameter setting unit in wing model；
Implied volatility is converted to corresponding stability bandwidth model parameter by fitting algorithm by converting unit.
One embodiment of option stability bandwidth automatic Fitting system according to the present invention, converting unit further comprises:
Cut off parameter acquiring unit obtains the parameter of two cut offs according to the strike price range of fitting parameter；
Natural logrithm converter unit does the transformation of natural logrithm to each strike price；
Mean square error computing unit calculates mean square error according to the curve equation of the part Call wing；
Parameter calculation unit obtains slope and call_ according to the minimum of mean square error to keep mean square error minimum
The parameter value of curvature, wherein slope parameter is the tangent slope at the point m of wing model curve, call_curvature
Parameter is the curvature of the part call wing of wing model curve.
One embodiment of option stability bandwidth automatic Fitting system according to the present invention, availability deciding module include:
Drawing of Curve unit draws out wing model curve according to stability bandwidth model parameter；
Theoretical stability bandwidth computing unit substitutes into wing as abscissa point after using each strike price to make natural logrithm transformation
Ordinate is obtained in the curve equation of model, ordinate is theoretical stability bandwidth；
Irrelevance computing unit calculates irrelevance according to the corresponding theoretical stability bandwidth of each strike price and implied volatility；
Irrelevance threshold decision unit judges irrelevance whether within the threshold range of setting, when irrelevance is less than threshold
Value exports corresponding theoretical stability bandwidth；If irrelevance is greater than threshold value, it is fitted again after return parameters fitting module adjusting parameter.
The present invention, which compares the prior art, to be had following the utility model has the advantages that the present invention has practicability, rich compared to traditional technology
The effect of three aspect of richness and high efficiency:
1. practicability: four sections of wing models that the present invention designs are that the special medical treatment smiled according to market fluctuation rate customizes out
Basic model, parameter is simple and clear, and low using threshold, user can expand more complicated stability bandwidth model on this basis.
2. rich: whole flow process is in implied volatility data source capability, the selection of stability bandwidth algorithm model, fitting algorithm ginseng
On the setting options such as number selection, sufficient selection space is reserved for user, to maximumlly adapt to various demand scenes.
3. high efficiency: after completing the configuration of underlying parameter, the process of entire algorithm is able to achieve fully automated user
Change operation, and ensure that the theoretical stability bandwidth ultimately generated is fitted closely with market, greatly liberates the manual operations of deal maker,
Improve the efficiency of transaction.
Detailed description of the invention
After the detailed description for reading embodiment of the disclosure in conjunction with the following drawings, it better understood when of the invention
Features described above and advantage.In the accompanying drawings, each component is not necessarily drawn to scale, and has similar correlation properties or feature
Component may have same or similar appended drawing reference.
Fig. 1 shows the flow diagram of option trade overall process.
Fig. 2A and 2B collectively illustrates the flow chart of an embodiment of option stability bandwidth automatic Matching Method of the invention.
Fig. 3 shows wing model curve figure of the invention.
Fig. 4 shows the schematic diagram of an embodiment of option stability bandwidth automatic Fitting system of the invention.
Specific embodiment
Below in conjunction with the drawings and specific embodiments, the present invention is described in detail.Note that below in conjunction with attached drawing and specifically real
The aspects for applying example description is merely exemplary, and is understood not to carry out any restrictions to protection scope of the present invention.
Fig. 2A and 2B collectively illustrates the process of an embodiment of option stability bandwidth automatic Matching Method of the invention.It please be same
When A and 2B referring to fig. 2, details are as follows for the implementation steps of the automatic Matching Method of the present embodiment.
Step S1: selecting suitable data from given option series, constitutes the implicit fluctuation that fitting algorithm input needs
Rate sequence.
Contract choice is carried out first, and an option series is according to the expected different of target contract price change direction, meeting
It is divided into call option (CALL) and put option (PUT) two types, the market conditions of different contracts are different, also mean that
Implied volatility is different, and general algorithm requires the data that can only have a stability bandwidth under each strike price, at this time will
Ask user to select from all contracts, can all with the data of call option, can all with the data of put option,
A part can be respectively taken with call option and put option, the arithmetic average of call option and put option stability bandwidth can also be taken
Value.
Secondly price selection is carried out.For some specific contract, since there are the rows of multiple gears by the Pan Kou of exchange
Feelings price, the corresponding implied volatility of each gear price is different, and user also needs the comprehensive choosing from all gear prices
A price is selected to calculate implied volatility, can choose with buying monovalence (BidPrice), sell monovalence (AskPrice), newest valence
(LastPrice) or intermediate price (MidPrice) etc..
Finally setting filter condition is filtered.It has been obtained by contract choice and the price selection of first two steps implicit
The data of stability bandwidth prevent abnormal data from needing the influence of arithmetic result to implicit fluctuation to guarantee the accuracy of data
Rate data carry out preliminary screening, and user can provide the minimum value and maximum value of a stability bandwidth, filtered out by section
The data of effect form the sequence of one group of strike price and implied volatility.
Step S2: implied volatility is fitted to stability bandwidth model parameter appropriate.
The selection of stability bandwidth model is carried out first.Stability bandwidth model refers to a specific data formula, for describing one
Corresponding relationship in a option series between strike price and stability bandwidth.Stability bandwidth model is there is no unified standard, therefore market
In be widely present a variety of stability bandwidth models, the present invention refers to the feature of Volatility Smile here, devises a kind of four-part form
Wing model, the Wing model parameter list and meaning of parameters are as shown in table 1:
1 wing model parameter table of table
The curve of wing model is as shown in Figure 3.The abscissa of curve is price, refers to that the strike price of option contract is passed through
Value after natural logrithm conversion, ordinate is stability bandwidth.Curve is divided into 4 sections in as shown in Figure 3, and each section of formula is as follows:
First segment, 0 < x <=x_put
Y=atmvolatility+slope*x+putcurvature*(2*putcutoff*x-putcutoff*putcutoff)
Second segment, x_put < x <=M
Y=atmvolatility+slope*x+putcurvature*x2
Third section, M < x <=x_call
Y=atmvolatility+slope*x+callcurvature*x2
4th section, x_call < x <=+ ∞
Y=atmvolatility+slope*x+callcurvature*(2*callcutoff*x-callcutoff*callcutoff)
Then fitting parameter is arranged.After having selected stability bandwidth model, need to be arranged for particular model corresponding quasi-
It closes parameter and needs to be arranged two parameters of atm_forward and strike price range for four-part form stability bandwidth model.
Atm_forward, it is consistent with the parameter in above-mentioned table 1, as the central point of curve, need by user directly to
Out, generally can be set to target price correlation, can also freely be specified by deal maker；And strike price range, then mainly
It is the quantity for determining the strike price for fitting, is generally provided in the form of percentage (such as 80%), expression takes central point or so
Data point in certain percentage point range.
Finally implement fitting algorithm, implied volatility is converted into corresponding stability bandwidth model parameter.The tool of fitting algorithm
Steps are as follows for body:
The first step obtains two cut offs of call_cutoff and put_cutoff according to fitting parameter strike price range
Parameter, for example, it is assumed that the range of the strike price for fitting is (strike_min, strike_max), then call_cutoff
=1n (strike_max/atm_forward), put_cutoff=1n (strike_min/atm_forward)
Step 2: do the transformation of natural logrithm to each strike price, the data obtained after transformation are to being denoted as { xi, voli}。
Third step, according to the curve equation of the part Call wing, calculating mean square error is
4th step, to make mean square error minimum, Q (atmvolatility, slope, callcurvature) minimum should
Meet:
The parameter value of slope and call_curvature can be calculated by above three formula.
Parameter in above-mentioned formula is the wing model parameter in table 1.
Step S3: to the availability deciding of stability bandwidth model parameter.
The specific processing step determined is as follows:
The first step draws out wing model curve according to stability bandwidth model parameter.
After making natural logrithm transformation with each strike price, the curve of wing model is substituted into as abscissa point for second step
Formula obtains ordinate, i.e., theoretical stability bandwidth.
Third step, calculates irrelevance, and formula is as follows
Wherein theo.vol and implied.vol is respectively the corresponding theoretical stability bandwidth of each strike price and implicit fluctuation
Rate, N indicate to input to the quantity of the strike price of fitting algorithm.
4th step, judge irrelevance whether within the threshold range of setting, when irrelevance be less than threshold value, illustrate to work as prewave
Dynamic rate model parameter is fitted market conditions well, exports corresponding theoretical stability bandwidth, algorithm normal termination；If irrelevance
Greater than threshold value, illustrate current stability bandwidth model and market conditions there are relatively large deviation, algorithm returns to second step, and user need to be according to reality
Border situation adjusting parameter is fitted again.
Fig. 4 shows the principle of an embodiment of option stability bandwidth automatic Fitting system of the invention.Fig. 4 is referred to, this
The system of embodiment includes: Sequence composition module, parameter fitting module, availability deciding module.
Sequence composition module constitutes what fitting algorithm input needed for selecting suitable data from given option series
Implied volatility sequence.
Sequence composition module further comprises: contract choice unit, price selecting unit, filter element.
Contract choice unit is for carrying out option contract selection.One option series is according to target contract price variation side
To it is expected different, call option (CALL) and put option (PUT) two types can be divided into, the market conditions of different contracts are not
Equally, also mean that implied volatility is different, and general algorithm requires can only have a stability bandwidth under each strike price
Data, require user to select from all contracts at this time, can all be used all with the data of call option
The data of put option can respectively take a part with call option and put option, can also take call option and put option wave
The arithmetic mean of instantaneous value of dynamic rate.
Price selecting unit is for carrying out option premium selection.For some specific contract, due to the Pan Kou of exchange
There are the market price of multiple gears, the corresponding implied volatility of each gear price is different, and user also needs from all
One price of comprehensive selection calculates implied volatility in gear price, can choose with buying monovalence (BidPrice), sell monovalence
(AskPrice), newest valence (LastPrice) or intermediate price (MidPrice) etc..
Filter element is filtered for filter condition to be arranged, and filters out valid data, is formed one group of strike price and is implied
The sequence of stability bandwidth.The data that implied volatility has been obtained by the selection of the contract choice and price of the first two unit are
The accuracy for guaranteeing data, prevents abnormal data to the influence of arithmetic result, needs to carry out implied volatility data preliminary
Screening, user can provide the minimum value and maximum value of a stability bandwidth, filter out effective data by section, form one
The sequence of group strike price and implied volatility.
Parameter fitting module is used to the data of implied volatility sequence being fitted to stability bandwidth model parameter.
Parameter fitting module includes model selection unit, fitting parameter setting unit, converting unit.
Model selection unit is for selecting stability bandwidth model, and wherein stability bandwidth model is the wing model of four-part form.Fluctuation
Rate model refers to a specific data formula, corresponding between strike price and stability bandwidth in an option series for describing
Relationship.There is no unified standards for stability bandwidth model, therefore a variety of stability bandwidth models are widely present in market, here present invention ginseng
The feature for examining Volatility Smile devises a kind of wing model of four-part form, and the Wing model parameter list and meaning of parameters are such as
Shown in table 1:
1 wing model parameter table of table
| Parameter name | Parameter description | Value range |
| Atm_forward | The forward price of at-the-money | (0,+∞) |
| Atm_volatility | The corresponding stability bandwidth of at-the-money | [0,+∞) |
| Slope | Tangent slope at point m | (-∞,+∞) |
| Call_curvature | The curvature of the part Call wing | (-∞,+∞) |
| Call_cutoff | The cut off of the part Call wing | [0,+∞) |
| Put_curvature | The curvature of the part Put wing | (-∞,+∞) |
| Put_cutoff | The cut off of the part Put wing | [0,+∞) |
The curve of wing model is as shown in Figure 3.The abscissa of curve is price, refers to that the strike price of option contract is done certainly
Value after right logarithmic transformation, ordinate is stability bandwidth.Curve is divided into 4 sections in as shown in Figure 3, and each section of formula is as follows:
First segment, 0 < x <=x_put
Y=atmvolatility+slope*x+putcurvature*(2*putcutoff*x-putcutoff*putcutoff)
Second segment, x_put < x <=M
Y=atmvolatility+slope*x+putcurvature*x2
Third section, M < x <=x_call
Y=atmvolatility+slope*x+callcurvature*x2
4th section, x_call < x <=+ ∞
Y=atmvolatility+slope*x+callcurvature*(2*callcutoff*x-callcutoff*callcutoff)
Fitting parameter setting unit is used to that center of curve point and strike price range parameter to be arranged in wing model.Selected
After stability bandwidth model, need to be arranged corresponding fitting parameter for particular model, for the four-part form stability bandwidth model,
Need to be arranged two parameters of atm_forward and strike price range.
Atm_forward, it is consistent with the parameter in above-mentioned table 1, as the central point of curve, need by user directly to
Out, generally can be set to target price correlation, can also freely be specified by deal maker；And strike price range, then mainly
It is the quantity for determining the strike price for fitting, is generally provided in the form of percentage (such as 80%), expression takes central point or so
Data point in certain percentage point range.
Converting unit is used to that implied volatility to be converted to corresponding stability bandwidth model parameter by fitting algorithm.
Converting unit further comprises cut off parameter acquiring unit, natural logrithm converter unit, mean square error calculating list
Member, parameter calculation unit.
Cut off parameter acquiring unit is used for the strike price range according to fitting parameter, obtains the parameter of two cut offs.
Natural logrithm converter unit is used to do each strike price the transformation of natural logrithm, the data pair obtained after transformation
It is denoted as { xi, voli}。
Mean square error computing unit is used to calculate mean square error according to the curve equation of the part Call wing.It calculates square
Error is
In parameter calculation unit, to keep mean square error minimum, slope and call_ is obtained according to the minimum of mean square error
The parameter value of curvature, wherein slope parameter is the tangent slope at the point m of wing model curve, call_curvature
Parameter is the curvature of the part call wing of wing model curve.
Q(atmvolatility, slope, callcurvature) minimum should meet:
The parameter value of slope and call_curvature can be calculated by above three formula.
Availability deciding module is used for the availability deciding to stability bandwidth model parameter.
Availability deciding module includes Drawing of Curve unit, theoretical stability bandwidth computing unit, irrelevance computing unit, deviates
Spend threshold decision unit.
Drawing of Curve unit is used to draw out wing model curve according to stability bandwidth model parameter.
Theoretical stability bandwidth computing unit as abscissa point for substituting into after making natural logrithm transformation with each strike price
Ordinate is obtained in the curve equation of wing model, ordinate is theoretical stability bandwidth.
Irrelevance computing unit is used to calculate and deviate according to the corresponding theoretical stability bandwidth of each strike price and implied volatility
Degree.Formula is as follows
Wherein theo.vol and implied.vol is respectively the corresponding theoretical stability bandwidth of each strike price and implicit fluctuation
Rate, N indicate to input to the quantity of the strike price of fitting algorithm.
Irrelevance threshold decision unit is for judging irrelevance whether within the threshold range of setting, when irrelevance is less than
Threshold value exports corresponding theoretical stability bandwidth；If irrelevance is greater than threshold value, intend again after return parameters fitting module adjusting parameter
It closes.
Although for simplify explain the above method is illustrated to and is described as a series of actions, it should be understood that and understand,
The order that these methods are not acted is limited, because according to one or more embodiments, some movements can occur in different order
And/or with from it is depicted and described herein or herein it is not shown and describe but it will be appreciated by those skilled in the art that other
Movement concomitantly occurs.
Those skilled in the art will further appreciate that, the various illustratives described in conjunction with the embodiments described herein
Logic plate, module, circuit and algorithm steps can be realized as electronic hardware, computer software or combination of the two.It is clear
Explain to Chu this interchangeability of hardware and software, various illustrative components, frame, module, circuit and step be above with
Its functional form makees generalization description.Such functionality be implemented as hardware or software depend on concrete application and
It is applied to the design constraint of total system.Technical staff can realize every kind of specific application described with different modes
Functionality, but such realization decision should not be interpreted to cause departing from the scope of the present invention.
General place can be used in conjunction with various illustrative logic plates, module and the circuit that presently disclosed embodiment describes
Reason device, digital signal processor (DSP), specific integrated circuit (ASIC), field programmable gate array (FPGA) other are compiled
Journey logical device, discrete door or transistor logic, discrete hardware component or its be designed to carry out function described herein
Any combination is realized or is executed.General processor can be microprocessor, but in alternative, which, which can be, appoints
What conventional processor, controller, microcontroller or state machine.Processor is also implemented as calculating the combination of equipment, example
As DSP and the combination of microprocessor, multi-microprocessor, the one or more microprocessors to cooperate with DSP core or it is any its
His such configuration.
The step of method or algorithm for describing in conjunction with embodiment disclosed herein, can be embodied directly in hardware, in by processor
It is embodied in the software module of execution or in combination of the two.Software module can reside in RAM memory, flash memory, ROM and deposit
Reservoir, eprom memory, eeprom memory, register, hard disk, removable disk, CD-ROM or known in the art appoint
In the storage medium of what other forms.Exemplary storage medium is coupled to processor so that the processor can be from/to the storage
Medium reads and writees information.In alternative, storage medium can be integrated into processor.Pocessor and storage media can
It resides in ASIC.ASIC can reside in user terminal.In alternative, pocessor and storage media can be used as discrete sets
Part is resident in the user terminal.
In one or more exemplary embodiments, described function can be in hardware, software, firmware, or any combination thereof
Middle realization.If being embodied as computer program product in software, each function can be used as one or more item instructions or generation
Code may be stored on the computer-readable medium or be transmitted by it.Computer-readable medium includes computer storage medium and communication
Both media comprising any medium for facilitating computer program to shift from one place to another.Storage medium can be can quilt
Any usable medium of computer access.It is non-limiting as example, such computer-readable medium may include RAM, ROM,
EEPROM, CD-ROM or other optical disc storages, disk storage or other magnetic storage apparatus can be used to carrying or store instruction
Or data structure form desirable program code and any other medium that can be accessed by a computer.Any connection is also by by rights
Referred to as computer-readable medium.For example, if software is using coaxial cable, fiber optic cables, twisted pair, digital subscriber line
(DSL) or the wireless technology of such as infrared, radio and microwave etc is passed from web site, server or other remote sources
It send, then the coaxial cable, fiber optic cables, twisted pair, DSL or such as infrared, radio and microwave etc is wireless
Technology is just included among the definition of medium.Disk (disk) and dish (disc) as used herein include compression dish
(CD), laser disc, optical disc, digital versatile disc (DVD), floppy disk and blu-ray disc, which disk (disk) are often reproduced in a manner of magnetic
Data, and dish (disc) with laser reproduce data optically.Combinations of the above should also be included in computer-readable medium
In the range of.
Offer is to make any person skilled in the art all and can make or use this public affairs to the previous description of the disclosure
It opens.The various modifications of the disclosure all will be apparent for a person skilled in the art, and as defined herein general
Suitable principle can be applied to other variants without departing from the spirit or scope of the disclosure.The disclosure is not intended to be limited as a result,
Due to example described herein and design, but should be awarded and principle disclosed herein and novel features phase one
The widest scope of cause.
Claims (10)
1. a kind of option stability bandwidth automatic Matching Method characterized by comprising
The first step selects suitable data from given option series, constitutes the implied volatility sequence that fitting algorithm input needs
Column；
The data of implied volatility sequence are fitted to stability bandwidth model parameter by second step；
Third step, to the availability deciding of stability bandwidth model parameter.
2. option stability bandwidth automatic Matching Method according to claim 1, which is characterized in that the first step further comprises:
Carry out option contract selection；
Carry out option premium selection；
Setting filter condition is filtered, and filters out valid data, forms the sequence of one group of strike price and implied volatility.
3. option stability bandwidth automatic Matching Method according to claim 1, which is characterized in that second step further comprises:
Stability bandwidth model is selected, wherein stability bandwidth model is the wing model with reference to the four-part form of stability bandwidth smile characteristics design；
Fitting parameter is set, center of curve point and strike price range parameter are set in wing model；
Implied volatility is converted into corresponding stability bandwidth model parameter by fitting algorithm.
4. option stability bandwidth automatic Matching Method according to claim 3, which is characterized in that fitting algorithm further wraps
It includes:
According to the strike price range of fitting parameter, the parameter of two cut offs is obtained；
The transformation of natural logrithm is done to each strike price；
Mean square error is calculated according to the curve equation of the part Callwing；
To keep mean square error minimum, the parameter value of slope and call_curvature is obtained according to the minimum of mean square error,
Middle slope parameter is the tangent slope at the point m of wing model curve, and call_curvature parameter is wing model curve
The curvature of the part call wing.
5. option stability bandwidth automatic Matching Method according to claim 1, which is characterized in that third step further comprises:
According to stability bandwidth model parameter, wing model curve is drawn out；
Each strike price is used to make to be indulged in the curve equation for substituting into wing model as abscissa point after natural logrithm transformation
Coordinate, ordinate are theoretical stability bandwidth；
According to the corresponding theoretical stability bandwidth of each strike price and implied volatility, irrelevance is calculated；
Irrelevance is judged whether within the threshold range of setting, when irrelevance is less than threshold value, the corresponding theoretical stability bandwidth of output；
If irrelevance is greater than threshold value, it is fitted again after returning to second step adjusting parameter.
6. a kind of option stability bandwidth automatic Fitting system characterized by comprising
Sequence composition module selects suitable data from given option series, constitutes the implicit wave that fitting algorithm input needs
Dynamic rate sequence；
The data of implied volatility sequence are fitted to stability bandwidth model parameter by parameter fitting module；
Availability deciding module, to the availability deciding of stability bandwidth model parameter.
7. option stability bandwidth automatic Fitting system according to claim 6, which is characterized in that Sequence composition module is further
Include:
Contract choice unit carries out option contract selection；
Price selecting unit carries out option premium selection；
Filter element, setting filter condition are filtered, and filter out valid data, form one group of strike price and implied volatility
Sequence.
8. option stability bandwidth automatic Fitting system according to claim 6, which is characterized in that parameter fitting module is further
Include:
Model selection unit selects stability bandwidth model, and wherein stability bandwidth model is four sections designed with reference to stability bandwidth smile characteristics
The wing model of formula；
Center of curve point and strike price range parameter is arranged in fitting parameter setting unit in wing model；
Implied volatility is converted to corresponding stability bandwidth model parameter by fitting algorithm by converting unit.
9. option stability bandwidth automatic Fitting system according to claim 8, which is characterized in that converting unit is further wrapped
It includes:
Cut off parameter acquiring unit obtains the parameter of two cut offs according to the strike price range of fitting parameter；
Natural logrithm converter unit does the transformation of natural logrithm to each strike price；
Mean square error computing unit calculates mean square error according to the curve equation of the part Call wing；
Parameter calculation unit obtains slope and call_ according to the minimum of mean square error to keep mean square error minimum
The parameter value of curvature, wherein slope parameter is the tangent slope at the point m of wing model curve, call_curvature
Parameter is the curvature of the part callwing of wing model curve.
10. option stability bandwidth automatic Fitting system according to claim 6, which is characterized in that availability deciding module packet
It includes:
Drawing of Curve unit draws out wing model curve according to stability bandwidth model parameter；
Theoretical stability bandwidth computing unit substitutes into wing model as abscissa point after using each strike price to make natural logrithm transformation
Curve equation in obtain ordinate, ordinate is theoretical stability bandwidth；
Irrelevance computing unit calculates irrelevance according to the corresponding theoretical stability bandwidth of each strike price and implied volatility；
Irrelevance threshold decision unit, judge irrelevance whether within the threshold range of setting, when irrelevance be less than threshold value, it is defeated
Corresponding theoretical stability bandwidth out；If irrelevance is greater than threshold value, it is fitted again after return parameters fitting module adjusting parameter.
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