模糊环境下期权定价方法研究——以上证50ETF期权为例

Research on Option Pricing Method in Fuzzy Environment——For example, the 50 ETF option of the above card

期权是衍生品市场中专业的风险管理工具,不仅丰富了投资者的投资策略,而且促进了资本市场的多样化,极大地活跃了我国的金融市场。因此,针对我国特殊环境下的期权定价理论研究具有重要意义。本文考虑资产价格波动的动态性、非对称性和模糊性,基于模糊理论和非对称GARCH模型建立了模糊环境下的期权定价模型,运用我国上证50ETF看跌期权数据进行实证分析。结果表明：模糊环境下的期权定价结果更接近市场价格,且EGARCH模型的定价精度最高;模糊环境下的定价结果可根据不同投资者的风险偏好,获得不同水平集下的期权价格区间,增加投资者选择的灵活性。

Options are professional risk management tools in the derivatives market, which not only enrich investors＇ investment strategies, but also promote the diversification of capital markets and greatly activate China＇s financial market. Therefore, it is of great significance to study the theory of option pricing in China＇s special environment. This paper considers the dynamics, asymmetry and ambiguity of asset price volatility. Based on fuzzy theory and asymmetric GARCH model, the option pricing model under fuzzy environment is established. The SSE 50 ETF put option data is used for empirical analysis. The results show that the option pricing results in the fuzzy environment are closer to the market price, and the EGARCH model has the highest pricing accuracy. The pricing results in the fuzzy environment can obtain the option price range under different level sets according to the risk preferences of different investors, and increase the investment. The flexibility of choice.