Numerical Calculation And Adjustment Of Some Option Pricing Models And Option Arbitrage Analysis

Now in China, the development speed of derivative product market is more and more quickly, and derivative product market is playing a great role. So people are concerned with derivatives pricing problem. Option is a very im-portant derivative product, now four futures exchanges in China and shanghai securities exchange may launch option in this year. Option pricing problem has been a hot problem in the world. This article mainly introduces several option pricing models, gives numerical solution, and gives some refinement.This paper is divided into six chapters. Chapter one mainly introduces research background and research meaning briefly, lists some documents and methods of option pricing, and makes a brief description of research ideas. Chapter two is the theoretical principle of option pricing, I introduce the basic concept and classification of option, introduce no arbitrage pricing theory and the risk neutral theory, the bound of European style option price and call put parity. Chapter three is some option pricing models and refinement. In this chapter, I introduce Black-Scholes models first,and solve the option price in matlab; then introduce the application of binomial tree model in European style option and American style option, and analysis the convergence rate; then introduce how to price American style option in monte carlo method and how to do that in matlab; introduce BAW model and refinement at the last. In chapter four, I use the price of the call option of SPX500in CBOE to draw a line of implied volatility and found that it is not a constant; In chapter five, I introduce arbitrage method of Shanghai and Shenzhen300index options simulation using matlab, introduce the design philosophy、method and strategic risk. Next is summary and outlook in the last chapter.