| With a constant improvement in Chinese financial market, the OTC market(over-the-counter) in our country obtains its considerable development. Currently, mainland OTC derivative trading mainly contains option swap, OTC option, stock underlying structural products, and so on. Transaction on exchange has a large amount of limitations in types and scales, compared with a better performance in such aspects in OTC market. Due to its one-on-one design pattern, OTC option can provide specific underlying asset, amount, and maturity for its demanders, whose flexibility substantially fulfills requirements from its investors. In Sep,2015, CSRC enacted the new administration regulations in which OTC option trading was under Filing system, instead of examining system. An increasing number of security companies, private fund and future firms and their subsidiaries are willing to join in OTC option business. Option pricing is core for the security firms and future companies. If the quote price is too high, investors are unlikely to purchase the option. By contrast, the groups may suffer a loss with low quoted prices. Analysis in variance is the key point in option pricing. This article tends to introduce not only the traditional volatility research, but also random walk basic model. In practical trading, shark options, barrier options, digital options, and Asian options all have an excellent business volume. Because of different anticipations in volatility, quoted prices in the market are not totally identical. This essay will bring the fixed volatility model and random volatility model into the OTC option pricing. Meanwhile, I will estimate the efficiency of those models through empirical study, aiming to find out the most suitable model. Since there are some peculiarities in OTC option in comparison with exchange option, the paper will mainly focus on the deduction of Creeks, and endeavor to dig out potential major factors in determination of its pricing. |
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