The Impact Of Constituent Stocks Adjustment Of The SSE 50ETF Option On Its Pricing Efficiency

Option as a financial derivative,the level of its pricing efficiency directly determines whether it can promote the stock price fluctuations and the efficient allocation of funds.The pricing process of the securities market is the process by which the buyers and the sellers finally reach a balanced price through continuous inquiry,the pricing efficiency of the securities market directly affects the regulation and allocation of market funds.The introduction of the SSE 50 ETF Option is a sign of the professionalization of Chinese options industry,its pricing issues are related to market stability and investor interests.However,the impact of the SSE 50 ETF option on the pricing efficiency has always been neglected.Therefore,on the basis of combing the pricing method,this paper adjusts the constituent stocks as the time node,and calculates the pricing efficiency through accounting the deviation of theoretical price and market price,large deviation is low pricing efficiency,in contrast,small deviation is high pricing efficiency.The study found:in the traditional B-S option pricing model,the call option has been reduced in the pricing efficiency of a certain period of time after the announcement of the constituent stocks,while the pricing efficiency of the put option will increase.However,in option pricing formulas with dividends and transaction costs,the pricing efficiency of both call and put options is reduced.As time goes on,the pricing efficiency of the SSE 50 ETF option will change again and return to the original level for both pricing models.The main reason for the change in option pricing efficiency is that the adjustment of constituent stocks will affect the volatility of the securities market.Inaccurate option pricing is due to the fact that the B-S option pricing model is too strict with the outside world,but this is not the case in reality.Pricing efficiency has returned to its original level because of the stabilization of the securities market.Therefore,this provides suggestions for improving the pricing efficiency of the SSE 50 ETF options and reducing the impact of the SSE 50 ETF option adjustment on its pricing efficiency.