基于最新数据的上证50ETF期权定价实证研究

Empirical Research in the SSE 50 ETF Options Pricing Based on the Latest Data

搜集、整理2016年3月至4月的上证50ETF高频交易数据,借助Excel工具并以历史波动率模型估计标的资产收益率的波动率,分析模型中的参数。分别用经典B-S模型和扩展B-S模型对上证50ETF期权进行定价实证计算,并通过对模型结果与期权市场价格进行均方误差计算及比较,得出两种计算方法的拟合程度均较好且扩展B-S定价模型更有效,从而为期权市场投资者提供了一个有效的分析工具。

The high -frequency traded data in March to April of 2016 have been gathered and sorted out. Parame- ters are analyzed through the Excel tool and estimating volatility of the underlying asset yield with historical volatili- ty. Then calculating the SSE 50 ETF Options based on classical B - S model and extended B - S model, using MSE to calculate and compare the model result with the real option price, we made a conclusion that the degree of fitting in two calculation methods is great and extended B -S model is more valid, so it provides a valid analysis tool for investors in option market.