Application Of Black-Scholes Model In SSE 50ETF Option Trading

As the only stock option and financial derivatives,SSE 50 ETF option sits in the securities market of Our country,which is active and has many traders,and is worth participating in.Reasonable pricing of options contracts is the core of option selling and the most important basic factor in designing option selling strategy.The research on option pricing in foreign countries has gone deep into the volatility surface design,constructed the volatility surface of a particular option,and priced the option by observing the subtle change of the volatility characteristic salient characteristic of the option on the volatility surface,but the research and summary are mostly rooted in the foreign market characteristics and cannot be transplanted directly to the domestic market for application.The domestic option pricing research is basically limited to theoretical research,such as repeated attempts to extract the value of model parameters,a partial summary of the characteristics of option price changes,and the connection with option trading practice is not enough.Black-Scholes model as one of the basic models of option pricing,compared with other option pricing models,the operation speed,low cost,valuation accuracy is also quite guaranteed,the practicality of option pricing is self-evident.Therefore,according to the requirements of the school,combined with the particularity of the domestic option market,the author studies and demonstrates the empirical application of black-Scholes model in the pricing and strategy design of the SSE 50 ETF.This paper is divided into five parts: the first part of the introduction mainly introduces the research background and significance,research ideas and methods.The second part introduces the theoretical basis of the Black-Scholes model,the relevant literature research,demonstrates the advantages of the model,and explains the reasons for the selection of black-Scholes model for trading and research.The third part expounds the application method of the Black-Scholes model in the SSE 50 ETF option market,and demonstrates from the empirical point of view the idea of setting the model parameters more in line with the current market characteristics: First,the implied volatility can be effectively priced on the option by calculating the implied volatility by the parvalue option;The model parameter risk-free yield is set to zero to the option valuation,resulting in a very small and simpler error.The fourth part expounds the strategy design in the SSE 50 ETF market using the Black-Scholes model,introduces the application of reverse Calendar spread strategy and carries out a back test,and then analyzes the source of revenue.In particular,in view of the fact that most traders who actually participate in the stock market do not have 50 ETF positions,but only partially hold positions in 50 ETF constituent stocks or shares of the same sector,this section proposes and discusses the strategy of converting stock delta stoic to hedge risk by using options.Effectively expanded the SSE 50 ETF options and stock portfolio strategy application range.The fifth part summarizes this article,and also expresses the outlook of the SSE 50 ETF options market.