Research On Option Pricing From The Perspective Of Anchoring

In recent decades,the development of financial derivatives market has become an important phenomenon in the global economic development.Financial markets carry out futures,options,forwards and swaps.Among them,the option is an option,the option holder can buy or sell assets at a predetermined price within a specified time or at a specified time.For the option buyer,the option may be exercised during the term of the option or may be waived.On the other hand,for the option seller,if the option holder exercises the option,it must perform.Because the option gives the holder a certain power rather than an obligation,it has a certain value.At the same time,the option has the function of avoiding risk,venture capital and value discovery.With the extensive use of options in the financial field,the value of options is becoming more and more complex,people's demand for risk management is getting higher and higher.In 1973,Black and Scholes put forward the famous European option pricing model,that is,the Black-Scholes option pricing model,which set a milestone for the development of option pricing theory.But the Black-Scholes option pricing model is not perfect,some of the assumptions are not in line with the reality of the situation,such as market friction,no transaction costs,etc..In order to solve this problem,many scholars still use the framework of Black-Scholes option pricing model,through the construction of more complex mathematical model to relax the assumptions of Black-Scholes option pricing model.This paper tries to discuss the option pricing from the perspective of behavioral finance.The anchoring effect is a psychological concept,which means that when people make judgments,they are easily influenced by the first information.Firstly,this paper starts with the traditional option pricing theory,and then discusses the influence of anchoring effect on people's option price.People in the estimation of option gains EC,will be adjusted according to their underlying asset returns ES,and the anchoring effect means that this adjustment is usually not enough,it will make people produce deviation on the expected return estimation option.In the simple case,the paper analyzes the influence of anchor adjustment on option pricing,and then deduces the expression of option pricing model under the influence of anchoring effect.This paper attempts to set the option pricing model with the effect of anchor to explain some anomalies,such as the implied volatility skew zero beta,the low rate of return on assets and other issues;discuss the anchoring and adjustment items can then volatility model and jump diffusion model provides a possible enhancement model to explain the direction of the force.Finally,the paper makes empirical use of Shanghai 50 ETF and option data,to test the effectiveness of the anchoring effect of the option pricing model,and get the corresponding conclusion in the introduction of the anchoring and adjustment after the option pricing model of explanation may be improved to a certain extent.