| Options are financial derivatives that give investors a choice in the future.On February 9,2015,China's first domestic stock option SSE 50 ETF option was officially listed and traded.On December 23,2019,the HS300 ETF options were listed on the Shanghai Stock Exchange and the Shenzhen Stock Exchange,and the HS300 stock index options listed on the China Securities Exchange.Therefore,the accurate pricing of options has great significance for the development and soundness of China's financial derivatives market.The traditional BS model cannot describe the time-varying characteristics of volatility,nor can it explain the phenomenon of "volatility smile",which in turn produces large errors in volatility estimation and option pricing.The core pr oblem of option trading is the estimation of implied volatility.The stochastic volatility model has perfected many defects of the B-S model,and is widely used in trading.This article makes a theoretical review of common models of stochastic volatility,such as the Heston model,SABR model,and SVI model,and explains it from the perspectives of theoretical construction,parameter estimation,and insufficient advantages.Among them,the SABR model and the SVI model have analytical solutions,which can quickly and efficiently solve the implied volatility,and are the most widely used in the industry.Based on the SABR and SVI model,this paper conducts parameter estimation and pricing research on all 2,116 SSE 50 ETF options since 2015.It uses tick-level data to construct a delta-neutralized arbitrage strategy.Using the stochastic volatility model in SSE 50 ETF options,estimate its implied volatility,explain the volatility smile phenomenon,construct an arbitrage strategy,can more truly and accurately reflect the volatility of Chinese ETF options prices,and provide model reference for newly listed 300 ETF options Data support promotes the steady development of derivatives and even financial markets. |
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