學(xué)術(shù)研究前沿| Pricing of Shanghai stock exchange 50 ETF options based on different volatility models

研究成果：Pricing of Shanghai stock exchange 50 ETF options based on different volatility models

作    者：吳慶春

發(fā)表期刊：Plos one, 2023, 18(12): e0288266.

內(nèi)容簡(jiǎn)介：On March 15, 2022, the volume of trade of the Shanghai Stock Exchange (SSE) 50 ETF option contracts and the CSI 300 ETF option contracts exceeded 10 million for the first time,of which 5,707,400 50 ETF options were traded, and SSE 50 ETF options, as the main force, has become one of the most active ETF option varieties in the world after seven years of vigorous development. The SSE 50 ETF options receive highlights in risk-free arbitrage,hedging, risk management and other aspects. In order to give full play to the function of the SSE 50 ETF options, it is necessary to conduct studies on their pricing. This paper adopts the traditional classical models for pricing European-style options, the BSM model and the volatility model, to price call options and put options of the SSE ETF, and meanwhile analyzes the volatility of the SSE 50 ETF. The empirical results suggest that (1) the volatility of SSE 50 ETF has a weak leverage effect or no leverage effect, which converges with the existence of the inverse leverage effect of the SSE index; (2) the BSM model will underestimate the price of SSE 50 ETF options and is only ideal for pricing in-the-money (ITM) options; while out-of-the-money (OTM) options are highly influenced by time value and therefore cannot be accurately priced.

（中文摘要）歷經(jīng)7年的蓬勃發(fā)展，2022年3月15日，上證50ETF期權(quán)合約和滬深300ETF期權(quán)合約成交量首次突破1000萬(wàn)張，其中，50ETF期權(quán)成交570.74萬(wàn)張，作為主力軍的上證50ETF期權(quán)，已成為全球最活躍的ETF期權(quán)品種之一。上證50ETF期權(quán)在無(wú)風(fēng)險(xiǎn)套利、套期保值、風(fēng)險(xiǎn)管理等方面的作用越來(lái)越被人們所重視，為了充分發(fā)揮上證50ETF期權(quán)的功能作用，對(duì)其進(jìn)行定價(jià)研究是必要的。本文采用對(duì)歐式期權(quán)定價(jià)的傳統(tǒng)經(jīng)典模型——BSM模型和波動(dòng)率模型，對(duì)上證ETF期權(quán)的認(rèn)購(gòu)期權(quán)和認(rèn)沽期權(quán)進(jìn)行定價(jià)，同時(shí)分析上證50ETF的波動(dòng)性。實(shí)證結(jié)果表明：（1）上證50ETF的波動(dòng)具有弱杠桿效應(yīng)或不存在杠桿效應(yīng)，與上證指數(shù)存在反杠桿效應(yīng)的情況趨同；（2）BSM模型會(huì)低估上證50ETF期權(quán)的價(jià)格，并且只有對(duì)實(shí)值期權(quán)的定價(jià)是理想的，虛值期權(quán)受時(shí)間價(jià)值的影響大，無(wú)法進(jìn)行精準(zhǔn)定價(jià)。

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作者簡(jiǎn)介：吳慶春，陳守仁商學(xué)院副教授，博士，碩士生導(dǎo)師，陳守仁商學(xué)院經(jīng)濟(jì)系副主任，福建省科技特派員。主要從事金融、生態(tài)經(jīng)濟(jì)等教學(xué)與科研工作。主持完成2項(xiàng)省部級(jí)項(xiàng)目，指導(dǎo)完成省級(jí)大學(xué)生創(chuàng)業(yè)項(xiàng)目1項(xiàng)，主持參與10多項(xiàng)市廳級(jí)課題，縱向課題經(jīng)費(fèi)累計(jì)30余萬(wàn)元，在專業(yè)權(quán)威核心期刊等發(fā)表文章30余篇。