An Empirical Analysis Of Stock Index Option Pricing

In this thesis,firstly,an empirical analysis on the SSE 50 ETF options is conducted.The latest 50 ETF traded data is collected and sorted out,two basic model parameters are generated by the Excel tool,and the empirical analysis is applied on those models.Besides,through mean square error(MSE),differences between model results and real option price are analyzed.It is concluded that extended B-S model is more suitable for the SSE 50 ETF options.One part of the reason is that this model has higher accuracy and better imitative effect;the other is that under extended B-S model,the deviation law of this option corresponds to the nonlinear range setting to rise and fall in contract rules.Secondly,an empirical analysis of the CSI300 index options is conducted based on the above conclusion.The latest simulated data is collected and sorted out.Through using various statistic softwares and methods to choose models and estimate parameters,such as Eviews,MCMC,Win BUGS,Gibbs;at the same time,compiling programs to solve the models with BUGS programming language,then,the empirical analysis based on SV-T(stochastic volatility model)and B-S model about this option is gotten.Through analyzing error?arbitrage space a those factors,it is concluded that SV-T model is more valid for the CSI300 stock index options pricing.Finally,an empirical analysis on the CSI300 index options is conducted based on the B-S promotion model considering transaction costs and B&P process.Through choosing and dealing with the latest capital data,estimating every parameter,and using Matlab language to solve formula solution ? numerical solution to binary tree and trigeminal tree,it shows that parameter l under Poisson distribution makes a vital sense to model's results;through analyzing the graphs generated,it indicates that trigeminal tree is better than binary tree;and the greater abnormal volatility parameter is,the greater error between numerical solutions and formula solutions in two tree graph methods is.A relatively compete system framework is made up of conclusions above.On the one hand,the validity and practicability of theoretical models are verified;on the other hand,valid data-support is provided for releasing the CSI300 index options and other new options in China;meanwhile,certain reference information is provided for securities policymakers.