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Empirical Research of the Pricing of Shanghai 50 ETF Options Based on Volatility and Fractional B-S Model

论文摘要

By analyzing the closing price of Shanghai 50 ETF options from 2017 to 2018,the authors find that the logarithmic return of 50 ETF options has fractional characteristics.The fractional B-S model is used to analyze 50 ETF option pricing.Firstly,the authors make R/S analysis of 50 ETF option logarithmic return and get the Hurst index of the fractional B-S model.Secondly,the authors build the GARCH（1,1） model to characterize the volatility of 50 ETF option’s yield and use the R software to get the historical volatility.Then the authors use fractional B-S model and the Matlab software to get the implied volatility.The authors make an empirical analysis on the pricing of 50 ETF option based on the two kinds of volatility.The authors calculate the AMSE of results from the models with the market price,and compare them fully.It is found that the fractional B-S models based on the two kinds of volatility have good fitting effect on the pricing of 50 ETF option,and the implicit volatility model has better fitting effect on the pricing of 50 ETF option than the historical volatility model.

论文目录

  • Introduction
  • Models
  • Empirical Analysis
  •   Sample Selection
  •   The Characteristic Test of the Logarithmic Yield of Shanghai 50ETF Option
  •   Using R/S Method to Test Fractional Characteristics
  • Estimating the Volatility
  •   Historical Volatility Based on GARCH Model
  •   Implicit Volatility
  •   Forecast Results and Analysis
  • Summary

    • 文章来源

    类型: 国际会议

    作者: Hui ZHANG,Chao SUN,Wen-yu MENG

    来源: 2019 International Conference on Education, Management, Business and Accounting (EMBA 2019) 2019-01-20

    年度: 2019

    分类: 基础科学,经济与管理科学

    专业: 数学,宏观经济管理与可持续发展,金融,证券,投资

    单位: School of Mathematics and Quantitative Economics,Shandong University of Finance and Economics,School of Finance,Shandong University of Finance and Economics

    分类号: F832.5;F224

    DOI: 10.26914/c.cnkihy.2019.077714

    页码: 329-333

    总页数: 5

    文件大小: 843k

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