Empirical Study Of The Optimal Parameters In The CEV Model

Due to the development of China’s financial products, option pricing problem has been the hot topic of the financial industry. And thanks to stock options and stock markets of strong correlation, people have gradually focused on stock index options and stock price behavior research. In this paper, the distribution of the stock price index options and influencing factors were discussed.After the classic Black-Scholes model, many scholars have done a lot of research warrant pricing. However, with further research, the limitations of Black-Scholes pricing model is also significant. The main reason is that the market does not meet many assumptions of the BS model. At the actual financial markets, the independent and identically distributed normal are not necessarily meet the yield financial products, which has the characteristics of leptokurtic, fat tail, asymmetric and many other features. Therefore, many scholars tried to fix these problems. Correction model is widely used for the CEV model that takes into account the volatility effect on the market price of the warrants. In this paper, the relevant data over the past decade China’s stock market, the optimal values for different periods CEV model to estimate the hope of future stock option pricing problem to get some help.The main results of this paper are as follows:1) Analysis the absolute CEV model, and the impact of risk factors on the price of a European call option.2) In view of the large number of scholars in the pricing of financial products, only consider the numerical solution, or use two special forms CEV model, that is, only consider these two scenarios. In this paper, the Chinese stock market, gives a reasonable estimate in line with the value of the Chinese stock market. And the way different from other scholars, the Chinese stock market over the past decade is divided into three distinct phases, namely a reasonable estimate of its value, come to conclusions, there is a certain research value.This paper analyzed the past decade China’s Shanghai and Shenzhen Stock Index with CEV model, solved fitness parameter values of the current stock market situation. By solving weighted form of two special-case of the CEV model, we obtained a wider adaptability improved CEV model.We planned to apply the CEV model to warrant pricing of financial markets, using abroad molding stock index options market data. We found that when using the CEV model refers to China in Shanghai and Shenzhen Index values, transformation sequence has obvious leptokurtic characteristic. We hope to consider about leptokurtsis in estimating the β.