GARCH族模型在期权定价中的应用.docVIP

GARCH族模型在期权定价中的应用 中文摘要：2015年2月9日，上证50ETF期权正式在上海证券交易所内上市交易，标志着我国证券市场上第一个场内期权的诞生。该期权一经上市就获得了众多机构投资者的关注。因为期权的核心在于其定价问题，所以本文以上证50ETF期权为实证研究对象，通过对其标的资产上证50ETF的日收益率序列的分析，可以发现该收益率序列存在显著的尖峰厚尾分布特征和波动集聚效应，因此与传统的期权定价模型中标的资产呈对数正态分布的假设以及采用固定波动率相违背，从而导致传统模型计算出的理论价格与实际价格存在较大偏差。本文主要采用GARCH族模型(包括GARCH、TGARCH、EGARCH模型)来预测和估计市场波动率，然后将其应用到传统的Black-Scholes公式和蒙特卡洛数值计算方法中，计算出采用GARCH族模型估计的动态波动率下的期权理论价格，和采用固定波动率下的期权价格以及实际市场价格进行对比，最后通过平均偏离程度的计算可以发现TGARCH模型对于期权定价的精确度最高。 关键词：上证50ETF期权 Black-Scholes模型 蒙特卡洛方法 GARCH模型 Abstract:On February 9, 2015, Chinas first exchange-traded option: SSE 50ETF option was officially launched on the Shanghai stock exchange. The option has attracted the attention of many institutional investors.Because the core of the option is the pricing problem,so this paper takes the SSE 50ETF option as the empirical research object. Through the analysis of the underlying asset SSE 50 ETF s day yield sequence,it can be found that the yield has obvious sharp peak and fat-tailed distribution characteristics and volatility cluster effect.So it is inconsistent with the traditional option pricing model with the hypothesis of the historical volatility and a logarithmic normal distribution of the underlying asset, resulting in a large deviation between the theoretical price and actual market price. This article mainly uses the GARCH model (including the GARCH, TGARCH, EGARCH model) to estimate and forecast volatility, then bring it into the traditional Black - Scholes formula and Monte Carlo numerical calculation method, calculate the theoretical price under the combination of GARC model and traditional option pricing model with the dynamic volatility.Meanwhile, it can be made a comparison with the theoretical price under the traditional model with the fixed volatility and actual market price. At last, through the calculation of the average deviation index, we can actually measure the accuracy of each model for option pricing. Key words：SSE 50 ETF option; Black-Scholes