An Empirical Study Of CSI 300ETF Option Pricing Under The Volatility Model

On Nov.8,2019,CSRC announced officially to expand the pilot work of stock index options,and approved CSI 300ETF option listed both on SSE and SZE,while CSI 300 stock index option listed on CFFE.On Dec.23,2019,CSI 300ETF option,which object is 510300.SH,is listed on the SSE.This is the second ETF option listed in China after SSE 50ETF option,it means that China has made an important step towards the goal of building a comprehensive new exchange with complete product system,full function,safe and efficient operation,which is also conducive to improving the stability and liquidity of the market.In the thesis,I will make an empirical study based on the stochastic volatility model,aiming to give the best pricing model for CSI 300ETF option.The most classic model of option pricing is the Black Scholes model builded by American scholars,Fisher Black and Myron Scholes,B-S model has a great influence on the research of option pricing and the development of option market.Because of the phenomenon such as volatility smile,volatility skew and volatility clustering in the market,the option price calculated by the B-S model can not be well attached to the actual price,some scholars builded a series of option pricing models about volatility.In addition to the B-S model,this thesis also introduces AHBS model,GARCH model and HESTON model,and gives the parameter estimation methods of three volatility models.After data filtering,I choosed the daily trading data of CSI 300ETF call option and put option which will expire by June.With the help of Matlab,the parameters of each model are fitted,and the option pricing of each model are calculated.The daily trading data of the same options from Feb.24,2020 to Mar.13,2020 are selected as the data outside the sample,then we can calculate their price.Finally,by comparing the error of the four models under the standards of MAE,MPE,MAPE and MSE,we can see that the accuracy of the four models for call option pricing is generally higher than that of put option,and the HESTON model is the most suitable one for CSI 300ETF option.