| CFFE has started the simulation of HS300stock index options to the wholemarket on November8th,2013,which indicate that the stock index options trading willstep into China financial market soon.In the near future,China will change thesituation that there is only one kind of stock index derivatives in the market. And forma across-market structure which include stock index,Stock index futures and stockindex options.Chinese securities market will become more perfect and dimensional. Incomes of HS300stock index options, the research of exploring the running state ofChinese spot market, and analying the price of the option is significant.Frist,,we examines HS300stock index time series characteristic and the trend ofreturn series by Eviews software and found that HS300index return series hasobvious peak and thick-tail, and the return series has been leveled off after the listingof HS300stock index futures.It indicate that Chinese securities market is in a stablestate. Second,we choose SV-T model whose parameters is difficult to estimate toanalysis the characteristics of HS300stock index volatility structure, this is a greatinnovation in research methods.By the analysis we found that since the HS300stockindex futures listed, the noise factors which affect stock index volatility in markethave been reducing gradually.While the size volatility has raised and the duration hasreduced.The situation demand stock index option hedging.Third, according to thetime series features of HS300index,we choose the stochastic volatility model (SV)model to price the option and discretized the continuous SV model to fit the statisticsof this paper.This is another innovation in research methods. Finally, we design areasonable option products for HS300stock index,the use the discrete SV-T modleto get the price number.It indicate that the SV-T model is useful to price HS300stock index option.It provide the institutional investors and individual investors apowerful tool to step into the options market. |
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