Research On The Volatility And The Volatility Index Option Pricing

Volatility research plays a very important role in financial asset pricing an d financial risk control.Volatility studies are developed as investors pay more attention to asset price risk.The promotion of volatility research is also accom panied by the increase of types of risk assets in financial markets and the imp rovement of market risk control methods and methods.After the volatility rese arch,the market started to pay attention to the study of volatility characteristic s.The volatility characteristics described the risk characteristics of a market or a product,which provided a reference for researchers to explore the causes of fluctuations and the effects of fluctuations.During the financial crisis in 2007,with the collapse of investor confidence,asset prices in global financial marke ts fluctuated sharply.The Volatility Index performed well during the financial c risis and reasonably estimated a large fluctuation in the market rate of return.It better describes the market investment As a result,the volatility index beco mes a measure of market risk and the derivatives related to the volatility index have become hedged products that are sought after by investors.Since 2008,the markets in various countries in the world have started to formulate their re spective volatility indices and build volatility Rate Index Derivatives.The rising market demand has put forward higher requirements on the research on the v olatility and the volatility index.In terms of the domestic market,China introd uced stock index futures in 2010.In 2014,China Financial Futures Exchange f irst announced the CVX index based on simulated transaction data to measure the volatility of the Chinese stock market.In 2015,the SSE ETF50 was forma lly listed and traded.The development of this series of new products shows th at the derivatives market in China has entered a period of rapid development.The demand for the volatility characteristics and the preparation of the volatilit y index has been further enhanced.Meanwhile,the emergence of the option pr oducts has enabled the use of The implied volatility method of compiling volat ility indices becomes possible,reinforcing the market's call for the introduction of volatility indices and derivatives.With the development of China's derivatives market such as futures option s,the introduction of the volatility index of the SSE ETF50 stock options is p ut on the agenda.The rapid development of the practice market makes it very time consuming to study the characteristics of China's market volatility and th e preparation of our volatility index urgent.Based on the research of volatility,this dissertation studies the volatility characteristics,volatility forecast and vola tility index of stock market from the theoretical and empirical point of view b ased on the research of volatility-related theory.On the basis of this,The empi rical results are applied to the pricing of volatility index options.At the same time,this paper summarizes the existing research on volatility sequence theory,and also applies a good practical model to the actual data of China and the United States stock market,with particular attention to the volatility characterist ics,the volatility index and the volatility index option pricing The empirical an alysis of the volatility characteristics of the market characteristics of a good de scription of the characteristics for the future with the simulation method in-dept h study of market volatility provides empirical data;volatility index better mea sure of the market risk,but also to further develop its standard volatility Rate index derivatives research basis;Volatility index option pricing empirical also a cliieved good empirical results.This article is divided into seven parts of the body of the text,the variou s parts of the interconnected form a unified whole.The first part is the introd uction part.This part introduces the background and significance of the topic s election in general,and puts forward the research on the volatility with the de velopment of the stock market at home and abroad with the development of th e stock market.In turn,the research results of volatility promote the stock Ma rket development.Based on the existing research,the backwardness of the vola tility research severely restricts the development of the stock market in our cou ntry.The stock market risk management and control measures supported by a s eries of scientific researches without volatility research will lead to the increase of market volatility.Finally,this part summarizes the research content of the article,research methods and research innovation and research prospects.The second part is literature review part.In this part,we summarize the f our aspects of the influential factors of volatility,the literature about volatility characteristics,the literature about volatility prediction and the literature on the preparation and application of volatility index,and discuss the more relevant content of volatility correlation,In part,through comprehensive literature review and comprehensive analysis,the theories,methods and trends of volatility rese arch both at home and abroad are presented in an all-round way,which provid es the research methods and research experience for the subsequent volatility re search.The third part is the basic theory part.This part introduces the basic theo ry involved in the following text,which is mainly divided into three parts:vol atility-related content,volatility measurement and prediction methods and introd uction of derivatives market.The part of the volatility related part introduces t he concept of volatility in depth.This part first studies and presents the resear ch status of the volatility and volatility characteristics through the way of the knowledge map.Then from the meaning of the volatility and the volatility cate gory,Rate of the basic content of the departure set forth the theoretical basis f or the study of volatility;Finally,a more detailed description of this article is not involved in the study of the volatility of high-frequency data.In the part o f the volatility measurement and forecasting method,we first introduce the pre-theoretical basis of volatility research,then introduce the development of volatil ity measurement theory,and finally introduce the application of GARCH model in volatility measurement.In the part of the introduction of derivatives market,starting with the introduction of global derivatives transaction,it introduces th e development of derivatives trading,the development of stock index futures a nd the development of stock index options in all the world's financial markets.By comparing the stock index options markets in financial markets Derivative s trading plays an important role in the transaction of derivatives.Then the aut hor introduces the development of the options market in detail,mainly introduc es the important nodes of the development of the US options market,provides experience for the development of China's options market,and further introdu ces the development of the options market The development of volatility index derivatives is introduced from the aspects of the development history of volati lity index derivatives,the current situation of development,the trend of development and the development of China's volatility index derivatives.By comparin g,it is found that the volatility index derivatives The development lags far be hind that of many countries including South Korea and India.The development of volatility index derivatives urgently needs to be accelerated.After having a basic understanding of the derivatives and derivatives market,This chapter pr ovides a comprehensive introduction of volatility-related theory,volatility measu rement and forecasting method,which lays the foundation for the following the oretical and empirical research on volatility characteristics,volatility forecast,v olatility index construction and volatility index option pricing model.The fourth part is the theoretical and empirical part of the volatility resear ch.In this part,firstly,we firstly comb the volatility research,which is more i mportant and often combined with GARCH,descriptive,asymmetric and leapfr ogging features,and theoretically introduces the related features of volatility res earch in detail.Then,after the introduction of the theory,this paper studies the application of GARCH model in the study of volatility characteristics based o n the data of Shanghai Stock Exchange Index,and studies the descriptive,asy mmetrie and leaping characteristics of Shanghai Stock Index.The study finds t hat Shanghai Stock Index has the usual stock return There are spikes and thic k tails,right deviation,negative asymmetry and jumping features in the sequen ces,of which the jump characteristic parameters fit well,but there is still a ga p between the model results and the actual data.The empirical results further i llustrate that the GARCH model can be used In a series of studies on the yiel d series of stock index.The fifth part is the volatility index research theory and empirical part.Vo latility index research is a relatively new research branch in volatility research.Since China has just released its volatility index at the end of 2016,this part of the theoretical study is to study the history of other countries,mainly the generation and development of the US volatility index Getting started,understa nding the research path of Volatility Index in other countries,the method of co mpiling Volatility Index and the construction of Volatility Index System provide useful experience for the development of China's Volatility Index in the next step.In constructing the volatility index of the empirical part,most of the mar ket's volatility index construction are based on the implied volatility of the opti ons market as the basis for the construction of China's securities market option s are very small,and only the launch of the option product is short,hidden T herefore,this paper attempts to use the GARCH model to predict volatility for the preparation of the volatility index of the Shanghai Composite Index.This paper uses the GARCH(1,1)model to forecast the volatility of the Shanghai Composite Index and constructs the volatility index according to the forecasting result.It also discusses the feasibility of introducing the volatility index in th e stock market of our country.The volatility index The importance of building the volatility index system and developing derivative products related to the v olatility index is expounded.From the results of building the volatility index,t he volatility predicted by the GARCH model can predict the short-term trend o f the volatility very well,and the degree of fitting is very high.However,due to the GARCH model's emphasis on fitting the historical trend,it is impossibl e to combine market investors',The compiled volatility index does not reflect the negative correlation between the volatility index and the underlying index.Therefore,from the empirical results,the use of the implied volatility in the preparation of volatility index is a more suitable method,but also to further cl arify the development of our country The importance of the option market bec ause the implied volatility is derived from the option price.The sixth part is the theoretical and empirical part of the volatility index option pricing.The ultimate goal of a series of volatility studies is to introduc e volatility-related products that provide investors with a hedging tool.This sec tion systematically summarizes the pricing of volatility index options theory an d GARCH model and the existing pricing studies put forward an improved mo del of the volatility index option pricing model.this part further introduces the option pricing theory,From the traditional option pricing theory In the last pa rt,we combine the GARCH model with the logarithmic mean value recovery model to make an empirical analysis of the pricing of the VIX options in the United States.From the analysis results,we can see that by adding the GARC H Model,Volatility Index Option pricing model pricing results significantly im proved,indicating that the model is effective to improve.The seventh part is the conclusion part.This part summarizes the article a nd looks forward to the development of volatility index and volatility index de rivatives in the Chinese market.