| Stock index option is the option whose target is stock index.People buy or sell stock index options and hedge the stock portfolios in order to avoid the system risk because the stock index can represent the trend and magnitude of the whole stock market.The stock index option has been developed quickly in the developed countries and will be inevitably developed in China with the preparing of Stock index future.In this circumstance,research on Stock index option is quite meaningful.This paper is divided into seven parts to go on.In the first part,we review the developing course of stock index option and option pricing theory.Also,we introduce the market functions played by stock index options and if introduced in China they will play a very important role in the stock market;In section two,we introduce the basic theory of option and the factors affecting the option price;In chapter 3,we introduce Black-Scholes Model and use a new way to prove it;In chapter 4,we introduce the risk characters of stock index options and many different trading strategies; In chapter 5,because of "Volatility Smile" to conquer the disadvantage of Black-Scholes Model,we infer the option pricing model based on GARCH model;In chapter 6,we prove that the bipower variation processes of order(r,s)of Y,denoted by V(Y;r,s)_t,is the limit with probability one,if it exits for all t≥0,of V(Y;r,s)_t~n.In the last part,we adopt S&P 500option index in CBOE to test the validity of the new model. |
