Static Hedging Of SSE 50ETF Options

In order to meet the growing demand of the financial derivatives market,the SSE 50 ETF option was officially launched on February 9,2015,which is China’s first over-the-counter option.Since the launch of this option,many experts and scholars have conducted a comprehensive analysis of it,and the pricing of 50 ETF options is particularly important.However,when most experts and scholars are studying the50 ETF option pricing problem,they are trying to model the option and then pricing it through the model.This article uses a different approach to pricing.In the ever-expanding literature on derivatives pricing,there is a research direction that uses simple hedging to statically or semi-statically copy the proceeds of complex derivative products to perform static hedging methods for pricing.First,a general framework is used.This framework is used for static hedging and pricing of European options with non-standard terminal returns.It is suitable for multiple path-dependent singular options(including variance swaps and barrier options).Pricing is achieved by separating hedging and pricing issues.Once the price of a set of basic returns is obtained,the pricing and hedging of financial securities with arbitrary return functions can be completed by calculating a set of "hedging coefficients" for the security.This article uses a new method to calculate the hedging coefficient of 50 ETF options,called the ABS method,which was first proposed by Kirkby and Deng(2018).As long as the price of basic income is obtained,the hedging coefficient obtained in this paper can be combined to obtain the pricing of 50 ETF options.