上证50ETF股指期权定价的实证研究

发布时间：2018-05-20 03:04

本文选题：上证50EFT期权 + 期权定价　；参考：《华中师范大学》2017年硕士论文

【摘要】：2015年2月9日,我国第一个场内期权—上证50ETF股指期权在上交所挂牌上市。这一期权的诞生,不仅丰富了投资者的投资品种,同时也使我国金融市场进入了全新的期权时代。期权在资本市场中发挥着风险管理、价格发现和财富增值等功能。因此,深入开展对上证50ETF股指期权定价问题的研究,对于促进和完善我国金融市场具有重要的理论意义和应用价值。1973年Black和Scholes提出的经典期权定价模型(以下简称为BS模型)作为一种常用的定价模型被广泛地应用在期权定价的实践与理论研究中。该模型给出了在一些理想条件下不支付红利的欧式期权的BS定价公式。在BS公式中确定期权价格的5个因素,除了波动率以外,其他影响因素,即标的资产价格、无风险利率、行权价和剩余期限均可以从市场中观察到,这样波动率对期权定价的影响就显得尤为重要。本文从波动率出发,以我国上证50ETF股指期权为研究对象,关于期权定价讨论了波动率为固定常数的BS模型、波动率为在值程度函数的AHBS模型、波动率是时变的GARCH模型以及波动率为随机过程的HESTON模型等4种期权定价模型,并对各模型的定价误差进行了实证研究。为保证数据的有效性,我们根据交易量和剩余期限等指标对2015年6月至2016年10月的看涨、看跌期权数据进行筛选,最终分别得到7837个看涨期权和7829个看跌期权的数据,并按在值程度对它们进行分类。然后使用最小二乘法、时间序列分析以及极大似然法等统计方法,通过Python和Eviews软件编程实现各模型参数的估计,得到相应的期权定价公式和各模型的理论价格。最后,我们从样本内拟合和样本外预测两方面,使用ME、MAPE和MSE三种误差标准比较了上述4种模型定价的差异。实证结果发现,在每种误差标准下,无论是样本内拟合还是样本外预测,均是HESTON模型比较好,AHBS模型次之,GARCH模型和BS模型误差较大。在ME标准下,对于虚值看涨期权和实值看跌期权,这4种模型在大部分情况下都低估了期权价格。
[Abstract]:In February 9, 2015, the first option - Shanghai Stock Option - 50ETF stock option was listed on the Shanghai Stock Exchange. The birth of this option not only enriched the investment variety of investors, but also made our financial market enter a new era of options. The options play the functions of risk management, price discovery and wealth increment in the capital market. Therefore, the study of the option pricing of the Shanghai Stock 50ETF stock index is carried out in depth. The classic option pricing model (hereinafter referred to as the BS model) proposed by Black and Scholes (hereinafter referred to as BS model) is widely used in option pricing for the promotion and improvement of China's financial market, which is of great theoretical and applied value.1973 (hereinafter referred to as the BS model). In the study of practice and theory, the model gives the BS pricing formula of European option which does not pay dividends under some ideal conditions. In the BS formula, 5 factors of the option price are determined. In addition to the volatility, other factors, such as the underlying asset price, the risk free interest rate, the line right price and the remaining term, can be observed from the market. The influence of sample volatility on option pricing is particularly important. Starting from the volatility, this paper takes China's Shanghai Stock 50ETF stock option as the research object. The option pricing discusses the BS model with fixed constant volatility, the volatility is the AHBS model of the value degree function, the volatility is the time variant GARCH model and the volatility is random over. In order to ensure the validity of the data, we select 4 options and 7829 put options respectively in order to ensure the validity of the data. In order to ensure the validity of the data, we select the put option data from June 2015 to October 2016 according to the trading volume and the remaining time limit. We use the least square method, time series analysis and maximum likelihood method to realize the estimation of the model parameters by Python and Eviews software, and get the corresponding option pricing formula and the theoretical price of each model. Finally, we fit and sample the samples from the sample. Two aspects of external prediction, using three kinds of error standards of ME, MAPE and MSE, the difference between the above 4 models is compared. The empirical results show that, under each error standard, the HESTON model is better, the AHBS model is the second, the GARCH model and the BS model are larger. Under the ME standard, the virtual values are seen under the ME standard. In the most cases, the 4 models underestimate the option price.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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