Initial margin policy and stochastic volatility in the crude oil futures market

• 成果类型: Article
• 署名作者: Day, TE; Lewis, CM
• 署名单位: Vanderbilt University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/10.2.303
• 发表日期: 1997
• 页码: 303
• 关键词: options; models; variables

摘要

This article examines the relationship between the volatility of the crude oil futures market and changes in initial margin requirements. To closely match changes in futures market volatility with the corresponding changes in margin requirements, we infer the volatility of the futures market from the prices of crude oil futures options contracts. Using a mean-reverting diffusion process for volatility, we show that changes in margin policy do not affect subsequent market volatility.