Volatility Analysis In Option Pricing

When we predict the volatility of option pricing , the history volatility based on history data and the implied volatility based on option price, which is more efficient is researched by many scholars.In theory, the implied volatility derived from the option price is con-sidered to be the market expectation of the future volatility, so the prediction effect of implied volatility should be more efficient.This paper select the June contract in 2016 to analyze the volatility of Shanghai 50 ETF Option. It is found that the implied volatility is better than the history volatility, which is consistent with the theory.I also find that the forecast effection of the Newton Raphson method is better than the linear approximate analytic solution when prediet the the implied volatility.