基于沪深300指数的股指期权合约设计与定价研究

发布时间：2018-03-25 07:30

本文选题：沪深300指数　切入点：股指期权　出处：《新疆财经大学》2013年硕士论文

【摘要】：随着经济全球化步伐逐步加快，金融资本的国际间流动速度大大提高，使得全球证券市场的系统性风险逐渐增大。因此，金融市场的参与者对市场风险管理工具的需求愈发强烈。金融衍生品天然具有将风险从金融原生品中分离出来进行风险管理的作用。期权就是众多金融衍生品中最重要的一种，期权类产品已经成为国际金融市场常用的投资和避险工具。其中，股指期权在品种、交易量、交易金额等方面都高居期权类产品首位，，它的产生极大地促进了全球金融衍生品市场的发展及规范。国外主流市场经验表明，推出股指期货后一年左右，相同标的物的股指期权就会相继推出。我国推出沪深300股指期货已两年有余，适时推出股指期权是我国金融衍生品市场发展的必然之举。本文选取沪深300指数为标的，探讨沪深300股指期权合约的设计，并对股指期权的定价进行了理论推导及实证研究。本文的主体共分为四部分。第一部分对股指期权的概念进行系统介绍，并对全球股指期权市场的现状进行了分析和总结。第二部分针对我国资本市场的现状，探讨了我国推出股指期权的必要性和可行性。第三部分研究我国股指期权合约——沪深300股指期权的设计问题。本文以沪深300指数为标的，对股指期权合约设计的目的、原则及合约各要素进行了讨论，设计出沪深300股指期权和沪深300mini（小规模）股指期权的合约样本。第四部分依照本文设计的合约，对股指期权的定价进行理论探讨及模拟定价研究。在理论层面，应用随机分析及鞅方法推导出股指期权定价公式。之后，采用历史计算法和GARCH模型法对沪深300指数波动率进行估计，并讨论了无风险利率、股指收益率、到期时间、执行价格等定价要素，得出沪深300股指期权挂盘交易的模拟价格，并印证了股指期权合约乘数选择的合理性。
[Abstract]:With the acceleration of the pace of economic globalization, the international flow of financial capital has been greatly increased, and the systemic risk of the global securities market has gradually increased. Financial derivatives have the function of separating risk from financial products for risk management. Option is one of the most important financial derivatives. Option products have become a common investment and hedge tool in the international financial market. Among them, stock index options rank first in terms of variety, trading volume, transaction amount, etc. Its emergence has greatly promoted the development and standardization of the global financial derivatives market. Experience in mainstream foreign markets shows that about a year after the introduction of stock index futures, The stock index options of the same subject matter will be launched successively. It has been more than two years since China launched the stock index futures of CSI 300. It is an inevitable move for the development of the financial derivatives market to introduce stock index options in good time. This paper selects the CSI 300 index as the target. This paper discusses the design of Shanghai and Shenzhen 300 stock index option contract, and makes theoretical derivation and empirical research on the pricing of stock index option. The main body of this paper is divided into four parts. The first part systematically introduces the concept of stock index option, and analyzes and summarizes the current situation of the global stock index option market. This paper discusses the necessity and feasibility of the stock index option in China. The third part studies the design of the stock index option contract-Shanghai and Shenzhen 300 stock index option in China. The purpose of this paper is to design the stock index option contract with the Shanghai and Shenzhen 300 index as the target. The principles and elements of the contract are discussed, and the contract samples of the Shanghai and Shenzhen 300 stock index options and the Shanghai and Shenzhen 300 minii stock index options are designed. The fourth part is based on the contract designed in this paper. This paper discusses the pricing of stock index option theoretically and simulates pricing. At the theoretical level, the formula of stock index option pricing is derived by stochastic analysis and martingale method. Using historical calculation method and GARCH model method to estimate the volatility of Shanghai and Shenzhen 300 index, and discuss the pricing factors such as risk-free interest rate, stock index yield, maturity time, execution price, etc. It also verifies the rationality of the selection of stock index option contract multiplier.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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