上证50ETF期权成分股的调整对其定价效率的影响

发布时间：2018-01-16 06:16

本文关键词：上证50ETF期权成分股的调整对其定价效率的影响　出处：《价格理论与实践》2017年03期 　论文类型：期刊论文

【摘要】：上证50ETF期权的推出是我国期权业走向专业化的标志,其定价问题关乎市场稳定和投资者利益,然而,上证50ETF期权成份股调整对于定价效率的影响一直被忽略。因此,本文在梳理定价方法的基础上,以成份股调整为时间节点,通过核算调整前后理论定价和市场价格的偏差计算定价效率。研究发现:看涨期权在成分股调整的公告日后的一定时间内定价效率有所降低,而看跌期权的定价效率会有所提高,但是随着时间的推移,上证50ETF期权的定价效率会重新变动并恢复到原来的水平。主要原因是定价公式忽略了红利、交易费用的存在,以及波动率参数受到成分股调整影响,这是今后提升定价效率的修正方向。
[Abstract]:The 50ETF option launch is a sign of professional options to industry of our country, the pricing problem relates to the stability of the market and the interests of investors, however, the 50ETF option for the constituent stocks of the adjustment affect the pricing efficiency has been neglected. Therefore, based on the analysis of pricing method, the constituent stocks of the adjustment for the time node, calculated by the pricing efficiency the deviation of theory price and the market price of the accounting adjustment before and after. The study found: option pricing efficiency has decreased in a certain period of time after the announcement of the adjustment of stocks, the option pricing efficiency will be increased, but with the passage of time, the SSE 50ETF option pricing efficiency will change again and recovered to the original level. The main reason is the pricing formula ignores the dividend, transaction cost, and the volatility of stocks by adjusting the parameters to enhance the effect, this is the future The revised direction of price efficiency.

【作者单位】：河北工业大学经济管理学院;
【基金】：河北省科技计划资助项目“期货投资组合策略研究”(13456243)
【分类号】：F832.51
【正文快照】： 2015年2月9日,上证50ETF期权在上海证券交易所正式上市交易,这是我国金融衍生品市场迈向成熟最重要的一步,对我国金融产品的丰富和期权市场的发展有着深远影响。金融产品的定价是其推向市场的基础性环节,关系到产品功能的发挥和金融市场的稳定,期权类金融衍生产品,比金融基础

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