基于沪深300指数的欧式股指期权定价研究

Research of European stock index option pricing based on the CSI 300 index

研究了尚处于仿真模拟交易阶段的沪深300股指期权未来的定价策略.采用具有红利支付的扩展Black-Scholes期权定价模型,并根据金融数据的特点,通过历史波动率法和GARCH模型2种方法,计算出不同波动率下欧式股指期权的价格并与模拟交易数据比较,对其结果进行分析,以期为相关政策的实施提供一些参考.

Researches pricing strategies of the CSI 300 stock index options which is still in the stage of simulation trading.Adoptes the expansion Black-Scholes option pricing model with the dividend payments,based on the characteristics of financial data,calculates the price of European stock index options under different volatility by historical volatility method and GARCH model,and then compares the price with simulated transaction data.The conclusion can provides reference for the implementation of the policy.