文档介绍：Finance Concepts January 08 2004
Reconstructing Volatility
New techniques for understanding the implied
volatility of multi-asset options
Speaker: Marco Avellaneda
Avellaneda, Boyer-Olson, Busca and Friz:
`Reconstructing Volatility’, RISK Oct 2002 ; `Large Deviations Methods and the
Pricing of Index Options in Finance’, CRAS Paris 2003
Outline
• Major US indices and ETFs
• Implied volatility surfaces of single stocks and indices
• Marginalization
•`Reconstructing’ the implied volatility of index options
• Steepest-descent Approximation
• The most likely market configurations
• Multivariate stochastic volatility models
• Moment-matching technique: Lee, Wang and Karim
• Cross-currency options
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Finance Concepts January 08 2004
. Equities: Main Sectors &
Their Indices
• Major Indices : SPX, DJX, NDX
SPY, DIA, QQQ (Exchange-Traded Funds)
• Sector Indices & Index Trackers :
Semiconductors: SMH, SOX
Biotech: BBH, BTK
Pharmaceuticals: PPH, DRG
Financials: BKX, XBD, XLF, RKH
Oil & Gas: XNG, XOI, OSX
High Tech, WWW, Boxes: MSH, HHH, XBD, XCI
Retail: RTH
All these indices have options
Trading statistics (AMEX)
AVERAGE TRADED VOLUME IN
DOLLARS LAST MONTH
DIA
QQQ
SPY
0 1000 2000 3000 4000
MM USD
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Finance Concepts January 08 2004
Sectors
AVERAGE TRADED VOLUME OVER THE PAST
MONTH (IN USD)
XLK
PPH
XLF
OIH
RTH
BBH
SMH
0 100 200 300 400 500 600
MM USD
S CMGI CMGI LGTO LGTO PSFT PSFT
ET LVLT LVLT PMCS PMCS
ADCTADCT CMCSK CMCSK LLTC LLTC QLGC QLGC
ADLACADLAC CPWR CPWR ERICY ERICY QCOM QCOM
ADBEADBE CMVT CMVT LCOS LCOS QTRN QTRN
ALTRALTR CEFT CEFT MXIM MXIM RNWK ponents of NASDAQ 100
XT MCLD MCLD RFMD RFMD
COST COST MEDI MEDI SANM SANM Trust (AMEX:QQQ)
AMGNAMGN DELL DELL MFNX MFNX SDLI SDLI
APOLAPOL DLTR DLTR MCHP MCHP SEBL SEBL
AAPLAAPL EBAY EBAY MSFT MSFT SIAL SIAL
AMATAMAT DISH DISH MOLX MOLX
ERTS ERTS NTAP NTAP SPLS SPLS
ATHMATHM FISV