A Study Of Sse 50ETF Option Pricing Based On G-ARMA-TARCH Model

Option is a kind of derivatives on the basis of the futures.Option can separate the rights and obligations from the financial sector and makes the right to decide whether to trade or not,but the other side must be performed.Option is indispensable to the mature capital market risk control tools.On February 9,2015,the SSE 50 ETF option officially listed in Shanghai stock exchange.The SSE 50 ETF options,rewritten the blank of stock option in China securities market situation,will become one of the important tools of risk management.However,the core problem is the option pricing,reasonable price discovery is arbitrage,hedging strategies such as the foundation of all transactions.Therefore,this article is written from the perspective of option pricing,with the SSE 50 ETF closing price as the research object,by establishing different models for option pricing research analysis.This article is mainly on the basis of O-U process model is analyzed by different volatility models,in order to describe the data sequence of time-varying volatility and conditional expectation more accurately and improve the accuracy of the prediction of the data.The concrete content includes the following aspects: In chapter 1,through the analysis of the status of China's securities market,and found that exists some defects such as greater risk of system,the single structure and lack of powerful hedge,so development index option derivatives has become a necessary choice to guard against risk,and at the same time briefly reviews the reason and function to develop the corresponding option derivatives.In chapter 2,the related contents of the SSE 50 ETF and options are briefly described,and through the introduction to the development of the international stock option market,further revealed the stock index options launched for the perfection of China's financial market system,securities market system risk guard,cultivating market participants have a major impact,and then expounds the necessity of Chinese stock index option,and briefly introducted the SSE 50 ETF option.In chapter 3,first introduced the actuarial method of the O-U process model and the rationality of the correction execution conditions,and gives the corresponding pricing formula;Then the knowledge of ARMA model,GARCH model,TARCH model and gradient factor model are introduced in detail,G-ARMA-TARCH model is put forward.In chapter 4,with the SSE 50 ETF as the research object,first of all,the selection of the parameters in the model are estimated of the O-U process and used for option pricing;Then the stock price volatility is builded with ARMA-GARCH model,ARMA-TARCH model,G-ARMA-TARCH model,on the comparison to the three prediction effect found G-ARMA-TARCH model is the optimal model;Finally using volatility model combined with option pricing formula of the O-U pricing process model,compared with before volatility model fitting effect has greatly improved.In chapter 5,to summarize the conclusion of the article,point out the weakness the direction for further research.