上证50ETF期权定价有效性的研究:基于B-S-M模型和蒙特卡罗模拟

发布时间：2018-05-24 17:26

本文选题：B-S-M模型 + 蒙特卡罗模拟　；参考：《运筹与管理》2017年08期

【摘要】：上证50ETF期权作为中国资本市场上股票期权的第一个试点产品,其定价问题尤为重要。本文分别运用B-S-M期权定价模型和蒙特卡罗模拟方法对其定价进行实证研究,分析结果表明:1)IGARCH模型比传统的GARCH模型更能较好地拟合上证50ETF的波动率;2)当模拟次数为1000时,蒙特卡罗方法的效率一致地高于B-S-M模型,并且除了对偶变量技术的拟蒙特卡罗其他模型的精确度也都高于B-S-M模型;3)B-S-M模型和蒙特卡罗模拟方法都可以较为准确地、有效地模拟出上证50ETF期权价格。这些研究将为今后期权定价模型的发展和完善提供必要的参考和指引。
[Abstract]:As the first pilot product of stock options in China's capital market, the pricing of 50ETF options is particularly important. In this paper, B-S-M option pricing model and Monte Carlo simulation method are used to study the pricing of 50ETF. The results show that the ratio of volatility of 50ETF in Shanghai Stock Exchange is better fitted by the ratio of 1: 1 IGARCH model than that of the traditional GARCH model) when the number of simulations is 1000, The efficiency of the Monte Carlo method is consistently higher than that of the B-S-M model, and the accuracy of the quasi-Monte Carlo model, except for the dual variable technique, is also higher than that of the B-S-M model, the B-S-M model and the Monte Carlo simulation method. Effectively simulate the price of 50ETF options on Shanghai Stock Exchange. These studies will provide the necessary reference and guidance for the development and improvement of option pricing model in the future.
【作者单位】：上海对外经贸大学金融管理学院;上海财经大学统计与管理学院;
【基金】：国家自然科学基金资助项目(11501355,71203139) 上海市浦江人才计划项目(14PJ1404100) 上海市教育委员会科研创新项目(14ZS147,15ZZ090) 国家社科基金重大项目(15ZDA058) 教育部人文社会科学项目(15YJA790039) 教育部留学回国人员科研启动基金中国博士后科学基金第59批面上资助项目台州市哲学社会科学项目(14GHZ01)
【分类号】：F224;F724.5

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