The Research And Empirical Analysis Of Option Volatility Of SSE 50ETF Options Based On The SABR Model

The core issue of options trading is the volatility estimate,and the most important thing for the volatility estimate is the model selection and data pro-cessing.This article is mainly based on the stochastic volatility model SABR, research the fitting problem of the implied volatility curve of SSE 50 ETF Options.In the empirical, we will use the Tick-level data. By correcting the trading data of SSE 50 Index Futures,get the approximate forward price of 50ETF,and use the implied volatility which we calculate with the BS model. And then estimate the parameters of the SABR model,fit the implied volatility curve of SSE 50 ETF Options.This paper introduces the development process of SABR model and the features of some implied volatility model,then by the Empirical Analysis of SSE 50 ETF Options,we can see that the SABR model can fit the implied volatility of 50 ETF Options accurately.It is of great significance not only for the market maker,but also the options investors who pay attention to the volatility of options,when they do risk hedging or volatility arbitrage. The specific content of this paper is divided into four chapters:In the first chapter,first introduce the research background and signifi-cance,then introduce the research status of stochastic volatility model.In the second chapter,we mainly introduces the origin of the stochastic volatility model and the problem they find in the various stages of the re-search of the volatility estimation,and then discussion the SABR model and the methods of parameter estimation.In the third chapter, Based on the SSE 50ETF options,use the SABR mod-el to do the empirical analysis,then analysis the the fitting results.In the last chapter,summarize empirical results and think the application prospect of the SABR model in our country,then analysis some potential risks of this model.