基于B-S模型的上证50ETF期权定价研究

Based on Shanghai 50 ETF B-S model option pricing research

针对已上市的上证50ETF期权定价问题,通过推导有红利的扩展Black-Scholes期权定价模型,并采用历史波动率法和GARCH模型两种方法计算期权价格的波动率,将波动率引入模型,使用MATLAB、EVIEWS软件,计算出不同波动率条件下上证50ETF期权的价格并与真实数据比较,发现GARCH模型能够使期权定价结果更准确。

For listed Shanghai 50 ETF option pricing problems,with the expansion of the dividend was derived,Black-Scholes option pricing model,and uses the historical volatility method and GARCH model two kinds of method to calculate the volatility in the option price,introducing volatility model,using MATLAB,EVIEWS software,calculate the different volatility under the condition of the Shanghai 50 ETF option price compared with real data,and found that the GARCH model can make the option pricing results more accurate.