The Study Of The SSE 50ETF Option Pricing

During the development of more than ten years, China's securities market has get remarkable achievement from nothing to something and from small tolarge. The securities market raised huge amount of fund for national economy and played an important role in pushing on the SOE's reformation, setting upmodem corporate governance, promoting the economy's restructuring and supporting the national economic development. Nevertheless, China'ssecurities market is so young that the spread and frequency of it's volatility are both very large which reflects the systematic risk is huge. It is imperative for China's securities market to introduce financial derivatives which can provide investors with abundant effective investment and risk management instruments so that the financial products structure can be completed and the resources can be efficiently allocated. SSE 50 index which has good representativity can indicate the comprehensive trend of Shanghai stock market, meanwhile, SSE 50 ETF is the spot product of SSE 50 index. Therefore, the introduction of index option targeted at SSE 50 ETF is the optimal choice for China's securities market. For this point, this thesis is hoped to provide China's securities market with some help when introducing the derivatives based on the research on the pricing on SSE 50 ETF option.Due to the unavailablity of the data on stock index option in China's securities market, the formula based on the extension of B-S model can not be applied to practical research. From another perspective, the cause of the differences between the option prices which are computed on the same B-S model can only relate to the assumption of the five parameters(S, X, r, T-t andσ). The assumptions of S, X and T-t are the same, only the r andσcan be different in computation. Therefore, quantitative analysis on the above two parameters is made in the thesis so as to find the cause of the differences comparing the option trend simulated by Guotai&Junan. Meanwhile, we discuss the role of Delta risk indicator and analyzed the impact of SSE 50 ETF option on the transaction partied and give it's illumination.First, we defined and analyzed the parameters in the B-S option pricing model. The primary parameters in the model are risk-free yield and volatility. In foreign developed capital market, risk-free yield is exclusive. However, due to the fact that the interest rate in bank is not marketlized, current bong term structure is not rational and the bond market is segmented, the definition of risk-free yield in capital market is differently computed.