Research On The Validity Of Crude Oil Option Pricing

In recent years,my country’s commodity and financial derivatives market has developed rapidly.Since its listing on the Shanghai Futures Exchange in 2018,the overall operation of crude oil futures has been stable and rising.It still shows strong tenacity and self-healing ability,thus providing a stable,effective and feasible place for real enterprises to carry out risk management,and its market function has also been improved and developed.On this basis,crude oil options with crude oil futures contracts as the underlying asset came into being.The successful listing of crude oil options not only forms an effective supplement to the crude oil futures market,but also meets the needs of industrial enterprises for more refined and professional risk management of crude oil prices,thereby improving the risk management system of Chinese entities and strengthening the crude oil industry chain.The accuracy and efficiency of enterprise risk management.Based on the above research background,this paper studies the pricing efficiency of crude oil options market.Based on the relative pricing of crude oil options market,this paper tests the market pricing effectiveness.The definition of market efficiency is the risk-free arbitrage opportunity without persistence and trend.This definition of pricing efficiency differs from that of whether actively managed funds in the stock market can outperform index funds.This paper first introduces the existing research content and results at home and abroad,and finds that the theoretical models selected by the existing research are mainly B-S model,Monte Carlo simulation option pricing method,option parity theorem and box spread model.The model is used to test the validity of the crude oil option market,because the box spread model can not only avoid the assumptions and market volatility that are inconsistent with the actual Monte Carlo simulation option pricing method and the B-S model,but also avoid the underlying asset market involved in the PCP model.The impact on the effectiveness of the options market is a direct theory that only tests the pricing effectiveness of the options market itself.Then introduce the efficient market theory and option parity theorem related to the box spread model,and then deduce the box spread model.The box spread model is mainly divided into long and short box spread strategies,that is,using two pairs of underlying assets and call and put options with the same expiration date but different strike prices.Through formula derivation for the long and short box spread strategies respectively,the box spread parity formula is obtained,and then the mispricing formula of the box spread model is obtained,and the t test and stationarity test using Eviews measurement software are obtained.and the test principle of white noise test.And according to the existing formula and the actual trading situation of the options market,the formula is derived to obtain the real rate of return obtained by the long and short box spread strategy after excluding the risk-free interest,so as to carry out a two-way arbitrage strategy and find a two-way arbitrage return rate higher than Opportunities for risk-free interest rates,and analyze whether there are arbitrage opportunities in the crude oil options market.This paper selects crude oil options with crude oil futures sc2109,sc2110,sc2111,sc2112,sc2201,sc2202,sc2203,and sc2204 that have been actively traded since its listing as the research object,and carries out long and short box spread strategies.According to the experimental data obtained by Oriental Fortune Choice and the official website of Shanghai International Energy Exchange Center,the present value difference and actual rate of return of the long and short arbitrage strategies are obtained.According to the box arbitrage model test principle described in Chapter 3,t test,stationarity test and white noise test are carried out on the absolute value of the mispricing deviation of sc2110 420-465,and the test result is the mispricing of the long box spread combination The absolute value of the deviation is a zero-mean,trendless,stationary white noise sequence,while the absolute value of the mispricing deviation of the short box spread is not a stationary sequence,that is,the crude oil options market has arbitrage by using the short box spread strategy.Chance.By comparing the long and short box arbitrage returns,the two-way arbitrage rate of return is obtained and compared with the risk-free interest rate to test whether there are arbitrage opportunities in the crude oil options market.is an efficient market.Finally,the overall analysis of the overall crude oil option box arbitrage combination is carried out,and the t test is carried out on the absolute value of the mispricing deviation of all combinations,and the test results are found to reject the null hypothesis.Then the stationarity test is carried out,and it is found that some unstable sequences exist in the test results,and the insignificant experimental results are non-sustainable and trendy,that is,most time series are stationary sequences with zero mean and no trend.The white noise test of the overall crude oil option box arbitrage combination shows that the test results basically conform to the white noise sequence,so the crude oil options market is effective as a whole.To sum up,the research results obtained in this paper are that the crude oil options market is an efficient market.In addition,there are a few arbitrage opportunities in the crude oil options market,and investors can use long and short box spread strategies to obtain risk-free returns.