Option Sensitivity Analysis Based On Black-Scholes Option Pricing Model

Option is one of the issue financial derivatives.In the international capital market,options are widely used by institute investors in risk control and arbitrage hedging,especially in arbitrage hedging,which has attracted extensive attention of researchers and investors.In February 2015,the first standardized contract option in China,the 50 ETF option in Shanghai Stock Exchange,was traded,followed by the first commodity option,the soybean meal option,in March 2017,which marks a new period of development of China’s option market.More and more researchers and investors in China began to pay attention to options,among which option pricing became a key research direction.This paper chooses the classical Black-Scholes option pricing model to study as follows:Firstly,this paper summarized the development of option pricing theory,and researched the purpose and method of option pricing.Then,the Black-Scholes option pricing model is taken as the main research basement,including the hypothesis conditions,model formulas,derivation and extension of pricing model when the model is put forward.In option pricing,the option price is affected by some parameters in the pricing model.The sensitivity analysis of the change called option sensitivity analysis.In Black-Scholes option pricing model,there are five variables,and the sensitivity index of option price to these parameters is also called Greek value.Through Greek value,risk management can be carried out dynamically and dynamic investment strategies can be constructed in line with expectations.Based on Black-Scholes option pricing model,this paper analyses the establishment and calculation of Delta,Gamma,Theta,Vega and Rho,then gets the equation relationship between them.The Delta hedging strategy is comprehensively analyzed in combination with the analysis of the false and true degree of options,so as to establish an extended Delta-Alpha sensitivity index and conduct a comparative analysis between the traditional Delta hedging strategy and the Delta-Alpha hedging strategy.Recently the 50 ETF option of Shanghai Stock Exchange has a certain amount of real data,on the basis of which empirical analysis will be more accurate and reliable.This paper chooses 50 ETF option of Shanghai Stock Exchange as an empirical analysis,studies the calculation of theoretical price based on Black-Scholes option pricing model,compares with the actual price and analyses the error;calculates and analyses the use significance of Delta and Gamma;This paper studies Delta hedging strategy,combines Delta-Alpha sensitivity index,constructs a new hedging strategy,and explores the profit and loss of the strategythrough empirical research.It is expected that through empirical research,it will provide some guidance and reference for institute investors’ decision-making,and provide reference for researchers’ future research and risk management of option hedging strategy.