過去文獻指出在利率選擇權市場中Heath, Jarrow, and Morton模型(HJM,1992)笑狀波幅是導因於標準布朗運動的假設與市場現象不符，並且提出各種方法去解決或解釋笑狀波幅的情形，然而過去文獻對於笑狀波幅之成因的解釋仍有不足之處。本文透過交易策略-購買在HJM笑狀波幅低點的選擇權，並且賣出隱含波動較高的選擇權來進行測試，本文實證結果發現在此交易策略下的投資組合具有顯著的獲利，這也表示在2003年1月1日至2005年12月31日之歐元銀行間拆款利率期貨選擇權之笑狀波幅並非完全由HJM模型配適錯誤所引起。本文亦發現在樣本期間中利率選擇權市場實際的笑狀波幅比HJM模型預測的較為陡峭，而此現象在短期的選擇權中更為明顯。本文亦發現在我們所使用的資料期間裡Bollen and Whaley (2004)所提出的淨買壓效果是造成歐元銀行間拆款利率期貨選擇權市場笑狀波幅較陡的重要原因之一。 Past literature explain the presence of volatility smile in interest rate options markets as the consequence of the violation of standard Brownian motion in Heath, Jarrow, and Morton model (HJM, 1992) and proposing alternative approaches to deal this violation is unsatisfactory and insufficient. In this paper, we do not use alternative model to deal with volatility smile, we construct several neutral portfolios by buying the option at the bottom of HJM volatility smile and sell the options on the top of the smile. The trading profits earned in our portfolios indicate volatility smile in Euribor options markets from January 1 2003 to December 31 2005 is not wholly due to the specification error for HJM model. The actual volatility smile pattern in Euribor options markets is steeper than the model predicted in the sample period, particularly for short-term options. We have found that the net buying pressure of Bollen and Whaley (2004) has caused the rise in out-of-the-money calls and puts in Euribor options markets within our examined period.
