Shanghai 50ETF Options Pricing And Forecasting Analysis

As a basic derivative tool,option has been widely used in the field of risk management in modern financial market.A large number of research related options pricing models and volatility have prompted the continuous development of option theory.The market runs smoothly since Shanghai 50ETF option was formally listed and traded on February 9,2015.Through accurately calculate the option price and predict the future price,it can be used as an effective tool for investors to manage risks and make effective decisions.Black-Scholes model assumes that stocks are continuously changing,but in the real market,the fluctuation of stock prices is not smooth movement,often showing a discontinuous "short jump"phenomenon.Therefore,how to accurately estimate the volatility of stocks and how to evaluate the phenomenon of "short jump" deserves further study.In this paper,Black-Scholes pricing model,GARCH-BS model and Merton jump-diffusion pricing model are established by using the real data of Shanghai 50ETF option contract,and calculated the deviation between theoretical price and real price before the expiration date of call option contract.By comparing and analyzing the pricing situation of the three models and predicting the option price,we can provide effective reference information for the option market and investors's trading strategies.The main research work in this paper is carried out in the following three aspects:In the first part,five parameters of Merton jump-diffusion model are estimated by using the parameter estimation method based on outlier test for the return series in the sample interval.Then the estimated jump parameters are used as input variables to simulate the yield series and compare with the actual yield series(Figure 4.4).The empirical results show that the trend of simulated and real returns is roughly the same,indicating that the data distribution simulated by the diffusion process with jumps is basically consistent with the real data distribution,and the parameter estimator is effective.In the second part,we consider four risk-free interest rates:Shibor interest rate,one-year deposit interest rate,one-year loan interest rate and treasury bond yield,and then substitute the jump parameter joint option parameter estimated in the first part into Black-Scholes model and Merton jump-diffusion model,calculate the option price and compare it with the actual price.Empirical results show that Merton jump-diffusion model is more suitable for the pricing analysis of Shanghai 50ETF option,and Merton jump-diffusion model has better pricing effect under one-year loan interest rate.In the third part,considering the better fitting effect of the pricing model in the second part,then makes a further forecast and analysis on the price of Shanghai 50ETF option.The dynamic exponential smoothing method is used to predict the interest rate and closing price according to the time point.In the GARCH-BS pricing model,the Black-Scholes model is improved by using the GARCH model to predict the volatility of stocks instead of the historical volatility formula.Similarly,Black-Scholes model,GARCH-BS model and Merton jump-diffusion model were used to predict the price,and compared with the actual price.Empirical results show that Merton jump-diffusion model is better than Black-Scholes model and GARCH-BS model for short-term,medium-term and long-term options,and Merton jump-diffusion model has the least pricing error under loan interest rate.