基于分数布朗运动模型的上证50ETF期权定价研究

Option Pricing of Shanghai 50ETF based on Fractional Brownian Motion Model

在对50ETF的收盘价序列做了正态性检验后,发现ETF基金市场存在着分形结构。对此建立了分数B-S模型的上证50ETF期权定价分析,同时也使用了B-S模型进行分析。通过比较两个模型所计算出的期权的理论价格与实际价格的误差可知,在对上证50ETF期权定价分析中,分数B-S模型要比B-S模型效果更好。

This paper tests the normality of the sequence of the closing price of 50ETF, the test shows the ETF fund market ex- ists a fractal structure. We analyze the option pricing of Shanghai 50ETF based on the fraction B - S model and the B - S model. By comparing the actual error between the theoretical price and the practical price of the option price calculated by the two models, we consider that the fraction B - S model better than the B - S model in the analysis of the option pricing of Shanghai 50ETF.