Research CEV Model Index Options Market Risks

This paper focuses on research in measuring the risk of tock index options withheteroscedasticity under the CEV model, and making empirical analysis with the dataof Chinese market.Based on the study of domestic and foreign option pricing and the theory of riskmeasure in financial market, the option risk estimation method of VaR calculationmethod and relevant parameters has deduced under the CEV model, and the optionsmarket risk measure has carried on the comprehensive research. This paper madesome breakthrough in the field of theory and practice. First, under the introduction ofthe features and profit-loss of options, the several important factors affecting optionprices has been cleared, and the risk of options market has been realized. Second,thispaper introduces the definition and calculation method of VaR (value at risk). On thisbasis, this paper deduced calculation method of options’VaR and relevant parametersunder the CEV model. Finally, using the KOSPI200index options data, and the HS300stock index options simulation data to carry on the empirical analysis, and thecalculation results are validity tested.The empirical results show that the CEV model can better fit the movement ruleof stock index. Therefore, relative to stock index options VaR measure based onBlack-Scholes option pricing formula, on the basis of the CEV model of stock indexoptions VaR measure is more accurate and practical. In addition, the delta-gammamethod to calculate the VaR and the analytic formula under the CEV model given bythis paper, can effectively measure the risk of stock index options market, and thisresults can be used as a effective tools for risk management to measure the risk ofupcoming stock index option products in China.