{"id":31032,"date":"2023-12-07T10:16:15","date_gmt":"2023-12-07T10:16:15","guid":{"rendered":"https:\/\/masterskills.org\/blog\/hieu-ung-nu-cuoi-volatility-smile-trong-do-nhay-cua-gia-quyen-chon-la-gi.html"},"modified":"2023-12-23T07:24:40","modified_gmt":"2023-12-23T00:24:40","slug":"hieu-ung-nu-cuoi-volatility-smile-trong-do-nhay-cua-gia-quyen-chon-la-gi","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/hieu-ung-nu-cuoi-volatility-smile-trong-do-nhay-cua-gia-quyen-chon-la-gi.html","title":{"rendered":"Hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi (Volatility Smile) trong \u0111\u1ed9 nh\u1ea1y c\u1ee7a gi\u00e1 quy\u1ec1n ch\u1ecdn l\u00e0 g\u00ec?"},"content":{"rendered":"<div class=\"vnbcbc-body vceditor-content wi-active\" data-role=\"content\">\n<p style=\"display: none;\" class=\"\">\n<div class=\"VCSortableInPreviewMode\" type=\"Photo\" style=\"\">\n<div><\/div>\n<div class=\"PhotoCMS_Caption\">\n<p><i>H\u00ecnh minh h\u1ecda (Ngu\u1ed3n: Xuhuongtiepthi)<\/i><\/p>\n<\/div>\n<\/div>\n<h2><font style=\"line-height: 22px; font-size: 22px;\" color=\"#3d85c6\">Hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi (Volatility Smile)<\/font><\/h2>\n<p class=\"\"><b>Kh\u00e1i ni\u1ec7m<\/b><\/p>\n<p class=\"\"><b>Hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi<\/b> trong ti\u1ebfng Anh g\u1ecdi l\u00e0 <b>Volatility Smile<\/b>.<\/p>\n<p class=\"\"><b>Hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi <\/b>\u0111\u01b0\u1ee3c \u0111\u1ecbnh ngh\u0129a nh\u01b0 m\u1ed1i quan h\u1ec7 gi\u1eefa \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng ng\u1ea7m \u0111\u1ecbnh v\u00e0 gi\u00e1 th\u1ef1c hi\u1ec7n c\u1ee7a quy\u1ec1n ch\u1ecdn \u0111\u00f3.\u00a0<\/p>\n<p class=\"\">M\u00f4 h\u00ecnh Black-Scholes-Merton s\u1eed d\u1ee5ng gi\u1ea3 thi\u1ebft ph\u00e2n ph\u1ed1i x\u00e1c su\u1ea5t c\u1ee7a t\u00e0i s\u1ea3n c\u01a1 s\u1edf l\u00e0 ph\u00e2n ph\u1ed1i chu\u1ea9n logarit.\u00a0<\/p>\n<p class=\"\">Tr\u00ean th\u1ef1c t\u1ebf, c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 c\u00f3 th\u1ec3 kh\u00f4ng ngh\u0129 v\u1eady. H\u1ecd cho r\u1eb1ng ph\u00e2n ph\u1ed1i x\u00e1c su\u1ea5t c\u1ee7a c\u1ed5 phi\u1ebfu c\u00f3 \u0111u\u00f4i b\u00ean tr\u00e1i d\u1ea7y h\u01a1n v\u00e0 \u0111u\u00f4i b\u00ean ph\u1ea3i m\u1ecfng h\u01a1n so ph\u00e2n ph\u1ed1i chu\u1ea9n logarit, trong khi ph\u00e2n ph\u1ed1i x\u00e1c su\u1ea5t c\u1ee7a t\u1ec9 gi\u00e1 h\u1ed1i \u0111o\u00e1i c\u00f3 c\u1ea3 \u0111u\u00f4i b\u00ean ph\u1ea3i l\u1eabn \u0111u\u00f4i b\u00ean tr\u00e1i d\u00e0y h\u01a1n so v\u1edbi ph\u00e2n ph\u1ed1i chu\u1ea9n logarit.<\/p>\n<p class=\"\">Nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1eed d\u1ee5ng hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi \u0111\u1ec3 x\u1eed l\u00ed c\u00e1c v\u1ea5n \u0111\u1ec1 c\u1ee7a ph\u00e2n ph\u1ed1i x\u00e1c su\u1ea5t kh\u00f4ng theo chu\u1ea9n logarit.\u00a0<\/p>\n<p class=\"\"><span style=\"color: rgb(61, 133, 198);\"><b>Hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi trong quy\u1ec1n ch\u1ecdn c\u1ed5 phi\u1ebfu<\/b><\/span><\/p>\n<p class=\"\">\u0110\u1ed1i v\u1edbi quy\u1ec1n ch\u1ecdn c\u1ed5 phi\u1ebfu, hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi th\u01b0\u1eddng c\u00f3 chi\u1ec1u d\u1ed1c xu\u1ed1ng, c\u00f3 ngh\u0129a l\u00e0 c\u00e1c quy\u1ec1n ch\u1ecdn b\u00e1n trong tr\u1ea1ng th\u00e1i l\u1ed7 v\u00e0 quy\u1ec1n ch\u1ecdn mua trong tr\u1ea1ng th\u00e1i l\u00e3i th\u01b0\u1eddng c\u00f3 \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng ng\u1ea7m \u0111\u1ecbnh l\u1edbn h\u01a1n, trong khi quy\u1ec1n ch\u1ecdn b\u00e1n trong tr\u1ea1ng th\u00e1i l\u00e3i v\u00e0 quy\u1ec1n ch\u1ecdn mua trong tr\u1ea1ng th\u00e1i l\u1ed7 th\u01b0\u1eddng c\u00f3 \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng ng\u1ea7m \u0111\u1ecbnh th\u1ea5p.\u00a0<\/p>\n<p class=\"\">\u0110\u1ed1i v\u1edbi quy\u1ec1n ch\u1ecdn ti\u1ec1n t\u1ec7, hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi th\u01b0\u1eddng c\u00f3 h\u00ecnh ch\u1eef U, quy\u1ec1n ch\u1ecdn c\u1ea3 \u1edf tr\u1ea1ng th\u00e1i l\u1ed7 v\u00e0 tr\u1ea1ng th\u00e1i l\u00e3i \u0111\u1ec1u c\u00f3 \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng ng\u1ea7m \u0111\u1ecbnh cao h\u01a1n so v\u1edbi nh\u1eefng quy\u1ec1n ch\u1ecdn \u1edf tr\u1ea1ng th\u00e1i h\u00f2a v\u1ed1n.<\/p>\n<p class=\"\">Nh\u00e0 \u0111\u1ea7u t\u01b0 nhi\u1ec1u khi c\u0169ng s\u1eed d\u1ee5ng m\u1ed9t c\u1ea5u tr\u00fac k\u00ec h\u1ea1n c\u1ee7a \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng (volatility term structure), trong \u0111\u00f3 \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng ng\u1ea7m \u0111\u1ecbnh c\u1ee7a m\u1ed9t quy\u1ec1n ch\u1ecdn ph\u1ee5 thu\u1ed9c v\u00e0o th\u1eddi gian hi\u1ec7u l\u1ef1c (th\u1eddi gian \u0111\u1ebfn k\u00ec \u0111\u00e1o h\u1ea1n) c\u1ee7a quy\u1ec1n ch\u1ecdn \u0111\u00f3.\u00a0<\/p>\n<p class=\"\">Khi k\u1ebft h\u1ee3p hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi v\u00e0 c\u1ea5u tr\u00fac k\u00ec h\u1ea1n c\u1ee7a \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng, ta s\u1ebd t\u1ea1o ra m\u1ed9t \u0111\u00f4 th\u1ecb trong kh\u00f4ng gian ba chi\u1ec1u, th\u01b0\u1eddng g\u1ecdi l\u00e0 m\u1eb7t dao \u0111\u1ed9ng (volatility surface).\u00a0<\/p>\n<p class=\"\">Theo \u0111\u00f3, \u0111\u1ed9 bi\u1ebfn \u0111\u00f4ng ng\u1ea7m \u0111\u1ecbnh \u0111\u01b0\u1ee3c xem nh\u01b0 m\u1ed9t h\u00e0m s\u1ed1 c\u1ee7a gi\u00e1 th\u1ef1c hi\u1ec7n v\u00e0 th\u1eddi gian \u0111\u1ebfn khi \u0111\u00e1o h\u1ea1n quy\u1ec1n ch\u1ecdn. Hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi l\u00e0m cho vi\u1ec7c t\u00ednh to\u00e1n c\u00e1c k\u00ed t\u1ef1 Hy L\u1ea1p tr\u1edf n\u00ean ph\u1ee9c t\u1ea1p h\u01a1n. Tr\u00ean th\u1ef1c t\u1ebf, nhi\u1ec1u t\u1ed5 ch\u1ee9c t\u00e0i ch\u00ednh s\u1eed d\u1ee5ng m\u1eb7t dao \u0111\u1ed9ng v\u00e0 nh\u1eefng thay \u0111\u1ed5i tr\u00ean m\u1eb7t dao \u0111\u1ed9ng \u0111\u1ec3 g\u00f3p ph\u1ea7n \u01b0\u1edbc l\u01b0\u1ee3ng c\u00e1c th\u01b0\u1edbc \u0111o \u0111\u1ed9 nh\u1ea1y n\u00e0y.<\/p>\n<p class=\"\"><i>(T\u00e0i li\u1ec7u tham kh\u1ea3o, Gi\u00e1o tr\u00ecnh Ch\u1ee9ng kho\u00e1n ph\u00e1i sinh &#038;  Th\u1ecb tr\u01b0\u1eddng ch\u1ee9ng kho\u00e1n ph\u00e1i sinh, NXB Lao \u0110\u1ed9ng)<\/i><\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"<div class=\"vnbcbc-sapo\" data-role=\"sapo\">\n                            Hi\u1ec7u \u1ee9ng n\u1ee5 c\u01b0\u1eddi (ti\u1ebfng Anh: Volatility Smile) \u0111\u01b0\u1ee3c \u0111\u1ecbnh ngh\u0129a nh\u01b0 m\u1ed1i quan h\u1ec7 gi\u1eefa \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng ng\u1ea7m \u0111\u1ecbnh v\u00e0 gi\u00e1 th\u1ef1c hi\u1ec7n c\u1ee7a quy\u1ec1n ch\u1ecdn \u0111\u00f3.\n                        <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31032"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=31032"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31032\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31032"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31032"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31032"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}