股票指数波动率的估计方法及其应用
Stock Index Volatility Estimation and Its Application
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摘要: 介绍了股票指数波动率的概念和基本的估计方法,并用有关数据进行了计算。利用其结果对股票市场的风险进行了度量,并对Black-Scholes期权定价公式进行了参数估计.对进行组合证券保险具有重要的意义。Abstract: In this paper, the concept and the estimation method of index volatility are introduced.The volatility estimation is analyzed with practical data using past prices. The results can be used to estimate the risk of the stock market and the parameters of Black-Scholes option pricing formula. It has significan meaning for portfolio insurance.