An Empirical Study Of CSI 300 Index Option Pricing Based On Mock Trading

Along with the deepening of economic globalization,the economy of the capital circulation speed is accelerating,which requires economies to maintain a stable financial operation environment.And systematic risk is the most important factor that affects the stability of an economy.For China,which is in the stage of development,have not yet established a mature financial market.The market system risk is still serious.Foreign mature markets have developed a large number of financial derivatives,including futures and options to prevent systemic risk.The stock index futures and options are the most able to hedge the entire market system risk tools,especially stock index options has now become an important market risk management tool for the mature economies.Since the Shanghai and Shenzhen 300 stock price index released in 2005, it has gone through more than ten years, the index of the introduction of China’s real has a reflection of the Shanghai and Shenzhen market, the overall trend of the market index. Subsequently, the China Financial Futures Exchange launched the Shanghai and Shenzhen 300 index futures on April 16, 2010, as the subject of the first system of China’s overall market risk hedging instruments. These years, the volume of China’s stock index futures market breakthrough, and gradually become mature and perfect. According to the mainstream market experience, the corresponding stock index options will be launched after a period of time as stock index futures running smoothly, the Shanghai and Shenzhen 300 stock index futures have been issued and running for more than 5 years, once the right time machine appears, I believe that the Shanghai and Shenzhen 300 stock index options will be launched.In this paper,we take the Shanghai and Shenzhen 300 index as the target, in the empirical part,select the Shanghai and Shenzhen 300 stock index options closing price data as a theoretical comparison of the reference system.The Shanghai and Shenzhen 300 stock index options pricing method,the selection of B-S pricing model and the two fork tree pricing model for the selected data.According to the two models,we compare the two models and find that the B-S option pricing model is more suitable for the pricing of options market in China.Through the analysis of the deviation of the price,it shows that the option volatility,the time and the volume as well as the real value of the options will affect the pricing model of the option pricing model.And put forward relevant suggestions and opinions on the option supervision department.Innovation of this paper : Option’s theoretical pricing is based on the simulation data of the Shanghai and Shenzhen 300 stock index options.Use the moving average model and the GARCH model to estimate the volatility. In the analysis of the effect of the price, the implied volatility is associated with the real value of the option.The shortage of this paper is that the stock index options in Shanghai and Shenzhen are not listed, the data of the simulation is not strict and the volume of the smaller, so that the data can not completely reflect the real options market, which makes the theoretical pricing of the simulation data has a large deviation.