Analysis Of BS Option Pricing Model-Based On The Chinese Stock Options Market

Since option generating in 1973,it has been a significant financial instruments.The Shangzheng 50 ETF option has officially traded in Shanghai Trade Exchange on February 9 in2015.With the continuous development of options market,researches on option pricing model appear constantly.The Black-Scholes option pricing model solved by Fisher Black and Myron Scholes in 1973 is one of the classic model of finance.Studies of Black-Scholes option pricing model mainly include the implied volatility estimating and empirical performance of options pricing.For our investors,compared with the subsequent option pricing model,Black-Scholes option pricing model is easy to understand and operable.Based on the option and spot data of Shangzheng 50 ETF,this paper investigates the“Volatility Smiles” phenomenon of implied volatility.In estimating the implied volatility for a given day,we use all Shangzheng 50 ETF options data,options data that had at least 15 days to expiration,ATM options data and ATM options data that had at least 15 days to expiration respectively.This estimate is then used to calculate the next day's pricing errors of the BS model.The results are:(1)there is an obvious phenomenon of the “volatility smile” for short-term options data;(2)ATM options data that had at least 15 days to expiration performs the best among all four when options' duration is more than 60 days.For the options duration less than 60 days,especially less than 30 days,the options are mispriced.