论文标题
股票衍生品市场中的合成前进和资金成本
Synthetic forwards and cost of funding in the equity derivative market
论文作者
论文摘要
这项研究介绍了一种新技术，仅使用欧洲看价和通话价格来恢复衍生品市场中隐性折现因子：此折扣是基于活跃市场的实际交易基础。此外，这项研究确定了主要市场参与者对OIS的隐含资金成本。流动股权市场是否允许套利？关键的想法是（使用Put-all Pary关系建立的（唯一）远期合同）包含有关市场折现因子的信息：通过无契约条件，我们确定了隐性利率，因此远期合同价值不取决于罢工。该过程适用于标准普尔500指数和Euro Stoxx 50指数的选项。有统计证据表明，在Euro STOXX 50市场中，隐式利率曲线与OIS OIS相吻合，而在标准普尔500标准普尔500市场中，平均在USD OIS曲线的基础上增加了34个基点的资金成本。
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual transactions in active markets. Moreover, this study identifies the implied cost of funding, over OIS, of major market players. Does a liquid equity market allow arbitrage? The key idea is that the (unique) forward contract -- built using the put-call parity relation -- contains information about the market discount factor: by no-arbitrage conditions we identify the implicit interest rate such that the forward contract value does not depend on the strike. The procedure is applied to options on S&P 500 and EURO STOXX 50 indices. There is statistical evidence that, in the EURO STOXX 50 market, the implicit interest rate curve coincides with the EUR OIS one, while, in the S&P 500 market, a cost of funding of, on average, 34 basis points is added on top of the USD OIS curve.
