歐洲美元選擇權之波動率分析

Abstract

本篇論文先介紹三類選擇權波動率模型(傳統模型、古典 SABR模型及涵蓋負利率 SABR模型)，主要討論如何以古典 SABR模型去捕捉歐洲美元選擇權的微笑曲線現象，利用兩種數值方法去較準，並做相關參數及誤差分析，提供了任意履約價波動率的報價參考。第五章則為事件研究，討論近年利率重大事件對歐洲美元選擇權波動率的影響，包含 FOMC會議、2019年附買回利率跳升及 2020年三月美國大幅降息，分析事件前後微笑曲線的移動及相關原因。

In my thesis, I will introduce three types of option volatility models (conventional models, classic SABR model, and negative rate SABR models). I mainly discuss how to use classic SABR model to capture smiling phenomenon of Eurodollar Options with two different numerical methods and analysis parameters and errors, providing a method to quote volatility with arbitrary strikes. In Chapter 5, I will study the impact of important events of interest rate change on Eurodollar options volatility. I will analysis the move of volatility smiling curves and their reasons, including FOMC, repo rate jump event in 2019 and sudden huge rate cut event happened in March 2020.