指数期权与现货价格之间的动态关系及其定价偏差研究——基于香港恒生指数期权市场

Empirical Analysis of Dynamic Price Relationship and Pricing Bias Between Index Options and Underlying Markets-Evidences from Hangseng Index Option Market

本文以香港恒生指数期权为研究对象,对期权与标的价格之间的动态关系和指数期权定价偏差进行研究。研究结果表明:恒生指数分别和恒生指数看涨期权、恒生指数看跌期权之间存在相互关联的关系,引起看涨期权价格偏差的主要原因有期权价值状况、到期日隐含波动率、交易量等因素。这个结论为中国持续连贯地发展股指衍生品市场提供了坚实有力的证据。

In this paper, we analyze the dynamic price relationship and the price bias between index option and the under- lying assets in Hangseng index option market. We find that there is some correlation between Hangseng index and Hangseng index options. The option price bias is influenced by options value, maturity, implied volatility and trading volume. This conclusion explains why China should continuously develop the index derivatives markets.