基于上证50ETF的期权定价实证研究

Empirical Research on Option Pricing Based on Shanghai 50ETF

期权作为一种金融工具,期权的存在不仅使投资者在风险管理和制定投资策略方面更具灵活性,同时也为其提供了一种获利的机会。因此,如何对期权进行科学、有效的定价就显得尤为关键。为满足这一需求,学者们提出了多样化的期权定价模型,以确保更准确地反映市场状况和更有效地进行风险管理。本文以上证50ETF期权为研究对象,采用B-S期权定价模型、蒙特卡洛定价模型以及Heston模型对其进行定价,并对三种模型下的期权定价结果进行了全面对比分析。其中,Heston模型采用模拟退火算法,准确地估计出了5个参数。研究结果显示,与B-S定价模型和蒙特卡洛定价模型相比,Heston模型具有更小的误差。这进一步验证了Heston模型更加准确和有效地模拟上证50ETF期权价格的能力。然而,在模拟过程中,这三种方法都会产生一定程度的误差。此外,为了有效缩减误差,文章引入了对偶变量技术,结果表明对偶技术在提高模拟效率和减小波动性方面具有显著优势。

As a financial instrument,the existence of options not only gives investors more flexibility in risk management and formulation of investment strategies,but also provides them with an opportunity to make profits.Therefore,how to price options scientifically and effectively is particularly critical.To meet this demand,scholars have proposed diverse option pricing models to ensure more accurate reflection of market conditions and more effective risk management.In this paper,we adopt the B-S option pricing model,Monte Carlo pricing model and Heston model to price the CSE 50ETF options,and make a comprehensive comparison and analysis of the option pricing results under the three models.Among them,the Heston model uses a simulated annealing algorithm to accurately estimate five parameters.The findings show that the Heston model has a smaller error compared to the B-S pricing model and the Monte Carlo pricing model.This further validates the ability of the Heston model to more accurately and efficiently simulate SSE 50ETF option prices.However,all three methods generate a certain degree of error during the simulation process.In addition,in order to effectively scale down the error,the article introduces the pairwise variable technique,and the results show that the pairwise technique has significant advantages in improving the simulation efficiency and reducing the volatility.