Comparison And Empirical Analysis Of SSE 50 ETF Option Pricing Parameters

The first on-site option products that 50 ETF Option of Shanghai Stock listed on the Shanghai Stock Exchange on Feb.9,2015.Until now,the mark of Shanghai Stock 50 ETF Option has ran more one year,Chinese Stock Market experiences crazy rising,as well experiences that the stock market fail because the addressing liquidity nearly drain,during this stock market crisis,financial derivative market receives much controversy.But as a whole,mark exchang of Shanghai Stock 50 ETF Option runs stably,investors are rational when invest,without over-investment,options financial function has played its role gradually,also offered a powerful risk-management tool.However,options practice is too short in Chinese mark,pricing model about option exchange is still is at the exploration and contrast stages.Though B-S pricing model is utilized maturely and extensively oversea,but the selection of the five paramers about pricing is always random,so the selection need to combine the real data of Chinese ption mark,and research deeply and meticulously.Investor can not avoid this question,nothing but calculating option price accurately and forecasting the trend of changes in price,market participants could invest reasonly.Therefore,this paper selects the data of Shanghai Stock 50 ETF option buy in September in 3400 kinds,basing on the availability of the calculation tool,mainly compares the effect about the pricing availability when select the different parameters in B-S pricing model.Firstly,under the same option time limit,the price of the underlying asset,risk-free interest rate,price of options contracts,choose historical volatility and implied volatility respectively,calculate the corresponding option theoretical prices.Secondly,under the same same option time limit,the price of the underlying asset,price of options contracts,select the Shibor interest rate,Treasury rates,benchmark loan rate that three different risk-free interest rate as the parameters of B-S pricing model,calculate the corresponding option theoretical prices;thirdly,compare with the theoretical prices and mark prices,inspecting the effect on B-S option pricing mode when choose different parameters.The conclusion of this paper: about the volatility selection,historical volatility will underestimate option pricing level,the final pricing should upward adjustment basing on the theoretical price.On the selectiv rise-free interest rate,benchmark loan rate conduct the parameter of rise-free interest rate,the corresponding price should approach option theoretical price.Lastly,this paper is based on current situation of domestic option market,embracing option pricing parameters,analyze under the market condition what we should improve,and raise corresponding proposal.