{"version":"1.0","provider_name":"Fortune Insight","provider_url":"https:\/\/prime.fortuneinsight.com\/web","author_name":"\u9322\u741b","author_url":"https:\/\/prime.fortuneinsight.com\/web\/posts\/author\/chinshun","title":"\u300aFB\u8f49\u8f09\u300b\u9999\u6e2fIV\u7684\u5e0c\u671b - Fortune Insight","type":"rich","width":600,"height":338,"html":"<blockquote class=\"wp-embedded-content\"><a href=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/494596\">\u300aFB\u8f49\u8f09\u300b\u9999\u6e2fIV\u7684\u5e0c\u671b<\/a><\/blockquote>\n<script type='text\/javascript'>\n<!--\/\/--><![CDATA[\/\/><!--\n\t\t!function(c,d){\"use strict\";var e=!1,n=!1;if(d.querySelector)if(c.addEventListener)e=!0;if(c.wp=c.wp||{},!c.wp.receiveEmbedMessage)if(c.wp.receiveEmbedMessage=function(e){var t=e.data;if(t)if(t.secret||t.message||t.value)if(!\/[^a-zA-Z0-9]\/.test(t.secret)){for(var r,a,i,s=d.querySelectorAll('iframe[data-secret=\"'+t.secret+'\"]'),n=d.querySelectorAll('blockquote[data-secret=\"'+t.secret+'\"]'),o=0;o<n.length;o++)n[o].style.display=\"none\";for(o=0;o<s.length;o++)if(r=s[o],e.source===r.contentWindow){if(r.removeAttribute(\"style\"),\"height\"===t.message){if(1e3<(i=parseInt(t.value,10)))i=1e3;else if(~~i<200)i=200;r.height=i}if(\"link\"===t.message)if(a=d.createElement(\"a\"),i=d.createElement(\"a\"),a.href=r.getAttribute(\"src\"),i.href=t.value,i.host===a.host)if(d.activeElement===r)c.top.location.href=t.value}}},e)c.addEventListener(\"message\",c.wp.receiveEmbedMessage,!1),d.addEventListener(\"DOMContentLoaded\",t,!1),c.addEventListener(\"load\",t,!1);function t(){if(!n){n=!0;for(var e,t,r=-1!==navigator.appVersion.indexOf(\"MSIE 10\"),a=!!navigator.userAgent.match(\/Trident.*rv:11\\.\/),i=d.querySelectorAll(\"iframe.wp-embedded-content\"),s=0;s<i.length;s++){if(!(e=i[s]).getAttribute(\"data-secret\"))t=Math.random().toString(36).substr(2,10),e.src+=\"#?secret=\"+t,e.setAttribute(\"data-secret\",t);if(r||a)(t=e.cloneNode(!0)).removeAttribute(\"security\"),e.parentNode.replaceChild(t,e)}}}}(window,document);\n\/\/--><!]]>\n<\/script><iframe sandbox=\"allow-scripts\" security=\"restricted\" src=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/494596\/embed\" width=\"600\" height=\"338\" title=\"&#8220;\u300aFB\u8f49\u8f09\u300b\u9999\u6e2fIV\u7684\u5e0c\u671b&#8221; &#8212; Fortune Insight\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\" class=\"wp-embedded-content\"><\/iframe>","thumbnail_url":"https:\/\/prime.fortuneinsight.com\/web\/wp-content\/uploads\/2021\/01\/dt_v13.jpg","thumbnail_width":1054,"thumbnail_height":697,"description":"\u4eca\u5929\u6e2f\u80a1\u6574\u9ad4\u7684IV\u504f\u9ad8\uff0c\u662f\u5168\u65e5\u7684\u760b\u72c2\u65b0\u805e\u4e2d\uff0c\u552f\u4e00\u4ee4\u6211\u5e36\u9ede\u5e0c\u671b\u7684\u6578\u5b57\u3002 \u5f9e\u81ea\u5bb6\u6a21\u578b\u7684\u8a08\u7b97\uff0c\u767c\u73feIV\u9ad8\u65bc\u5408\u7406\u503c\uff0c\u4e0d\u6562\u6b78\u56e0\u65bc\u90ed\u978d\u3002\u500b\u4eba\u8a8d\u70ba\u6bd4\u8f03\u5408\u7406\u7684\u539f\u56e0\uff0c\u662f\u6210\u689d\u8857\u90fd\u5c0d\u660e\u5929\u4fb5\u4fb5\u7684End Game\u8b8a\u5f97risk averse\uff0c\u6182\u616e\u660e\u5929\u7684\u7d50\u679c\u6703\u662f\u90a3\u5343\u591a\u842c\u4efd\u4e00\u7684black swan\uff0c\u4ee4\u5e02\u5834\u6ce2\u52d5\u6027\u62bd\u5347\u3002 \u4f30\u7b97IV\u9ad8\u4f4e\u7684\u65b9\u6cd5\u6709\u5f88\u591a\uff0c\u7c21\u55ae\u5982\u5927\u7d04\u8a08\u7b97IV\u8207HV\u4e4b\u5dee\uff08\u6216\u7a31vol risk premium\uff09\uff0c\u8907\u96dc\u7684\u5247\u53ef\u4ee5\u4f7f\u7528stochastic vol model\uff08SVM\uff09\u3002 \u4f46\u662f\uff0c\u8981\u6e96\u78ba\u8a08\u7b97vol risk premium\uff0c\u5176\u5be6\u4e5f\u8981\u5f88\u5c0f\u5fc3\u3002IV\u53ef\u4ee5\u5f9e\u671f\u6b0a\u50f9\u683c\u5012\u63a8\uff0c\u4f46HV\u5c31\u8981\u5c0f\u5fc3\u9078\u64c7\u6642\u9593\u7a97\uff08rolling window\uff09\u5167\u7684\u4ea4\u6613\u65e5\u6578\uff0c\u9019\u500b\u53c3\u6578\u5f88\u591a\u6642\u90fd\u662f\u52d5\u614b\u7684\u3002 \u81f3\u65bc\u8907\u96dc\u9ede\u7684SVM\uff0c\u4f7f\u7528excel\u8a08\u7b97\u9700\u6642\u8f03\u4e45\uff0c\u4f46\u61c2\u5f97\u61c9\u7528python package\u7684\u8a71\uff0c\u5169\u4e09\u884ccode\u5c31\u641e\u6382\u3002\u5c0d\u7528python\u7092\u80a1\u7684\u6211\u800c\u8a00\uff0cthis is a must\u3002 \u7747vol\u9664\u4e86\u5e6b\u52a9\u81ea\u5df1\u5be9\u8996\u5e02\u5834\u4e2d\u7684\u96b1\u542b\u8a0a\u606f\uff0c\u4ea6\u80fd\u5354\u52a9\u5236\u5b9a\u7b56\u7565\uff0c\u4f8b\u5982\u671f\u6b0a\u505along\/short\u54ea\u6642\u8f03\u62b5\uff0c\u4e5f\u53ef\u4f5c\u70ba\u8abf\u7bc0\u6295\u8cc7\u7d44\u5408\u5e02\u5834\u98a8\u96aa\u7684\u6307\u6a19\u3002 IV\u5982\u679c\u5347\u5f97\u592a\u6025\uff0c\u6211\u7092derivatives\u6642\u5c31\u6703\u589e\u52a0\u7de9\u885d\u91d1\u984d\uff0c\u7528\u4f5c\u98a8\u96aa\u7ba1\u7406\u3002\u73fe\u5728\u9019\u500b\u60c5\u6cc1\uff0cIV\u504f\u9ad8\uff0c\u672c\u4f86\u6253\u7b97long vol\u7684\u6211\uff0c\u4e5f\u8981\u9000\u4e00\u6b65\u591a\u52a0\u8003\u616e\u3002 \u5118\u7ba1\u5982\u6b64\uff0c\u65e2\u7136\u689d\u8857\u67d0\u7a0b\u5ea6\u4e0a\u5728price in the End Game\uff0c\u4e7e\u8106\u7092\u5c11\u4e00\u5169\u5929vol\uff0c\u770b\u770b\u5947\u8e5f\u6703\u5426\u767c\u751f\u5427\u3002"}