本文借鉴Bliss和Panigirtzoglou(2002)以及Figlewski(2009)的方法，计算了中国上证50ETF的“期权隐含概率分布”并对其信息含量进行了实证检验。基于Breeden和Litzenberger(1978)给出的理论公式，我们利用三次样条插值拟合了上证50ETF期权的“波动率微笑曲线”进而得到期权隐含概率分布。由于市场上可交易的执行价格的范围是有限的，我们借鉴Figlewski(2009)的方法，利用广义极值分布函数(GeneralizedExtremenValueDistribution，GEV分布)填充隐含概率分布两侧的尾部，并使其能够刻画金融资产收益分布“尖峰...According to Bliss and Panigirtzoglou (2002), as well as Figlewski (2009), we estimate 50ETF Option-Implied Density and test its information contents. Based on the formula given by Breeden and Litzenberger (1978), we use cubic spline to fit the “Volatility Smile” of 50ETF Options, and then obtain the Option-Implied Density. Since the range of strikes available from the market is finity, the Gerner...学位：经济学硕士院系专业：王亚南经济研究院_金融学学号：2772014115275
