中国金融市场股灾问题研究-毕业论文外文翻译中国金融市场股灾问题研究-毕业论文外文翻译.doc

毕业论文外文翻译 课题名称： 中国金融市场股灾问题研究 院 系： 财 经 学 院 专 业： 工商管理（金融企业管理方向） 二〇一五年 十 月 外文翻译 The Information Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash Index options and futures are highly leveraged speculative instruments. Bullish traders expecting a rise in the market can go long futures, buy call, and/or short put. Bearish traders who expect the opposite would short futures, short call and/or buy put. However, options have finite lives and their values are subject to time decay. Successful option players have to be right both about market direction and volatility forecasts for a specific time horizon (by the time period preceding the option’s expiration date).2 Traders increase their exposure and pay higher prices only if they expect the returns to be large and imminent. Therefore, trading volumes and the prices of options contracts may impound the probability, potential magnitude, direction, and most importantly, the timing of prospective market movements. In their seminal paper, Black and Scholes (1973) show that the price of an option is determined by (1) value of the underlying asset, (2) payouts or leakage from the asset, (3) time-to-maturity of the contract, (4) risk-free interest rate, (5) exercise price of the option, and (6) expected future volatility of the asset. Given the first five factors, implied volatility is monotonic over option price and it is common for option traders to quote option prices in units of (implied) volatility. Implied volatility summarizes the supply and demand condition in the options market and can be interpreted as an agglomeration of the market’s anticipation of future volatility between the initiation and expiration day of the contract. It is a natural choice for forecasting future volatility. Rapport and White (1994) postulate that the brokers’ loan in the 1920s was actually a call option contract. Based on this