Empirical Research On CSI 300 ETF Based On Implied Volatility

CSI 300 ETF option was listed on Shanghai Stock Exchange on December 23,2019,which is the second ETF option listed in China except for SSE 50 ETF option.It has changed the structure of China's ETF option market,improved the option product system,and improved the stability of China's financial market.CSI 300 ETF option A shares cover more comprehensive,insurance function is more perfect,asset pricing efficiency is more efficient Therefore,the accurate pricing of CSI 300 ETF options is particularly important in China's financial market.Based on four different pricing models,this paper makes an empirical study on the option of CSI 300 ETF.Black Scholes model is a classical option pricing model,which has a great impact on the financial market.However,the hypothesis of "price volatility in the option model" can't fit the market volatility very well.In the face of this situation,many scholars put forward a series of option pricing models about volatility.There are GARCH model simulation,binary tree model,and the implicit volatility function(IVF model)used in the empirical part of this paper.Considering the structure of China's financial market and based on the current situation of the research on the option of CSI 300 ETF,this paper firstly explains the relationship between B-S implied volatility,model free implied volatility and strike price,and expounds the reasons for the phenomenon of "volatility smile";secondly,according to the four different option pricing models of B-S model,IVF model,CIVF model and MIVF model Finally,according to the MAE,MAPE,MSE,RMSE four error analysis indicators,the data fitting within the sample and the data prediction outside the sample are carried out for different models.According to the error analysis results,the MIVF model is more suitable for the option pricing of CSI 300 ETF in China's financial market.