Option Pricing And Empirical Study Of Shanghai 50ETF Options Based On Jump-Diffusion Model

Since the emergence of the first financial derivatives in the world,it has been going through more than a century.In the past one hundred years,the world's financial markets have been greatly developed,and financial derivatives have also made great progress.Up to now,there have been various kinds of financial derivatives in the world,such as options,futures,funds,etc.During this period,financial markets and financial theory promoted each other,and the research on financial theories has become more in-depth and detailed.From the Black-Scholes model,the Merton jump-diffusion model,to other various forms of models and hypothesis,more and more models has been used to describe changes in stock prices,which has been increasingly detailed and comprehensive.These all greatly promoted the development of the financial derivatives market.Chinese financial industry is developing slowly,and the financial derivatives market also started late,which caused both our financial theory and practice to lag behind developed countries.On February 9th,2015,Chinese first stock option product was listed on the Shanghai Stock Exchange,which opened a new chapter in China's financial derivatives market.So theoretical research has new domestic material,and more and more scholars begin to study the Shanghai 50 ETF option,which has greatly promoted the development of the research of domestic theories.Nowadays,Shanghai 50ETF options are also developing rapidly,and the number of the products has expanded to more than 100 throughout the year.The market of options products is thriving.With the rapid development of Shanghai 50 ETF options,the study of pricing is even more important.This article uses the Black-Scholes model and the Merton jump-diffusion model to price the Shanghai 50 ETF option products,and then analyze and compare the results of the two models.The models use in this paper have no assumptions such as bonus distribution,random volatility,etc.On the basis of analysis and comparison,evaluate the merits of the two models.For Shanghai 50ETF option product,Merton jump-diffusion model is better for pricing call options,while Black-Scholes model is better for pricing put options,and the pricing effect of call options is better than put options,etc.