毕业论文外文翻译---本文来源于网络，仅供参考，勿照抄，如有侵权请联系删除------本文来源于网络，仅供参考，勿照抄，如有侵权请联系删除------本文来源于网络，仅供参考，勿照抄，如有侵权请联系删除---课题名称:院系:专业:中国金融市场股灾问题研究财经学院（金融企业管理方向）---本文来源于网络，仅供参考，勿照抄，如有侵权请联系删除---二O—五年十月---本文来源于网络，仅供参考，勿照抄，如有侵权请联系删除---外文翻译TheInformationContentofOptionImpliedVolatilitySurroundingthe1997HongKongStockMarketCrashIndexoptionsandfuturesarehighlyleveragedspeculativeinstruments.Bullishtradersexpectingariseinthemarketcangolongfutures,buycall,and/orshortput.Bearishtraderswhoexpecttheoppositewouldshortfutures,shortcalland/orbuyput.However,optionshavefinitelivesandtheirvaluesaresubjecttotimedecay.Successfuloptionplayershavetoberightbothaboutmarketdirectionandvolatilityforecastsforaspecifictimehorizon(bythetimeperiodprecedingtheoption'sexpirationdate).2Tradersincreasetheirexposureandpayhigherpricesonlyiftheyexpectthereturnstobelargeandimminent.Therefore,tradingvolumesandthepricesofoptionscontractsmayimpoundtheprobability,potentialmagnitude,direction,andmostimportantly,thetimingofprospectivemarketmovements-Intheirseminalpaper,BlackandScholes(1973)showthatthepriceofanoptionisdeterminedby(1)valueoftheunderlyingasset,(2)payoutsorleakagefromtheasset,(3)time-to-maturityofthecontract,(4)risk-freeinterestrate,(5)exercisepriceoftheoption,and(6)expectedfuturevolatilityoftheasset.Giventhefirstfivefactors,impliedvolatilityismonotonicoveroptionpriceanditiscommonforoptiontraderstoquoteoptionpricesinunitsof(implied)volatility.Impliedvolatilitysummarizesthesupplyanddemandconditionintheoptionsmarketandcanbeinterpretedasanagglomerationofthemarket'santicipationoffuturevolatilitybetweentheinitiationandexpirationdayofthecontract.Itisanaturalchoiceforforecastingfuturevolatility.RapportandWhite(1994)postulatethatthebrokers'loaninthe1920swasactuallyacalloptioncontract.Basedonthisinsight,theyfindthattheimpliedvolatilityinferredfromthebrokers'loansrosesharplyinearly1929wellinadvanceoftheOctober1929crash.Theyalsofindthatimpliedvolatilitycontinuedtobuildupuntilthecrashoccurred.Schwert(1990)andBates(1991)showthatthevolatilityimpliedbytheS&P500indexoptionssignaledthe1987crash.Moreover,priortothecrash,theimpliedvolatilityoftheout-of-the-moneyputwassignificantlyhigherthanthatoftheout-of-the-moneycallalthoughthephenomenasubsidedinthetwomonthsleadingtothecrash.TheseresultsareconsistentwiththegeneralfindingofFleming,Ostdiek,andWhaley(1995)andChristensenandPrabhala(1998)thatimpliedvolatilitycanpredictfutureurealizedvmarketvolatility.Toavoidarbitrage,thefuturespricemustbeclosetoits“fair”orarbitrage-freevaluethatdependslargelyonthevalueoftheunderlyingasset.Thecost-of-carryconditionofModestandSundaresan(1983)andCornellandFrench(1983)provideaformulatocalculatethefairfuturesprice.Ifthefuturespriceisabove(below)itsfairvaluethereisanindexarbitrageopportunity;anarbitrageurmaybuy(shortorsell)theunderlyingassetandshort(buy)thefutures.---本文来源于网络，仅供参考，勿照抄，如有侵权请联系删除---However,therearesignificanttransactionscostsassociatedwithindexarbitrageoperation.FungandDraper(1999,2003)showthat,fortheHongKongmarket,arbitrageopportunitieshaverarelyexceededtransac...