An Empirical Study On Option Pricing Of CSI 300 Stock Index Based On Volatility Model

On November 8,2019,China Securities Regulatory Commission announced the official opening of the pilot work of further expanding the stock index options,approving the CSI300 ETF options listed on the Shanghai Stock Exchange and Shenzhen Stock Exchange according to the procedures,and the CSI 300 stock index options listed on the China International Financial Exchange.On December 23,2019,the target for the CSI 300 stock index CSI 300 stock options listed in CICC,this marks China to the construction of a financial products,financial facilities,perfect,each function fully,safe and efficient comprehensive new exchange goal an important step,also beneficial to improve the market stability and liquidity,so the importance of CSI 300 stock options reasonable pricing can be imagined.Options increase the volatility dimension compared to linear financial instruments,extending from 2 D plane to 3 D surfaces,with greatly increased complexity and reliance on complex mathematical tools.Effective option pricing model is the basis of option trading,while volatility model is the core of option pricing.Volatility model is the key to the door of option pricing,and participants in various option markets need effective volatility models to provide pricing reference.This paper empirstudies the pricing of the newly listed CSI 300 stock index options based on the stochastic fluctuation model.In order to better evaluate the effectiveness of the CSI 300 stock index option pricing and find a more appropriate option pricing model,this paper considers the CSI 300 stock index option,including Black-Scholes model,AHBS model,GARCH model and HESTON model,and obtain the pricing model most suitable for the CSI 300 stock index option market in China.To ensure the validity of the data,we processed nearly 60,000 options data from March15,2021 to February 28,2022,and screened out about 20,000 option data.The parameters were estimated for the Black-Scholes model,AHBS model,GARCH model and HESTON model by using least squares,nonlinear least squares and MATLAB software.On this basis,in-sample fitting pricing and out-of-sample prediction pricing were performed.We paper a comparative analysis of four pricing error measurements: MAE,MAPE,MPE and MSE.Finally,it is concluded that the four models overestimate the pricing of CSI 300 stock index options to a certain extent,but the overall error is small.At the same time,the HESTON model is the most accurate in-sample fitting and off-the-sample prediction pricing,which is the most suitable model for the CSI 300 stock index option market,followed by BlackScholes model and GARCH,while the AHBS model pricing error is relatively large.