Study On Implied Volatility And Option Pricing Based On SZ 50ETF Option

Options that use volatility as the underlying asset are not new to the option trader.Most options traders rely heavily on volatility information to select their trades.For this reason,the Chicago Board Options Exchange(CBOE)Volatility Index(VIX)has been a popular trading tool for options and stock traders since 1993.On February 24,2006,CBOE began trading VIX options,which became a direct and effective way for investors to use volatility.The VIX option contract is the first market volatility product listed on the stock exchange by the US Securities and Exchange Commission.As a natural extension of the VIX futures successfully launched on the CBOE Futures Exchange(CFE)on March 26,2004,the introduction of VIX options has greatly promoted hedging against market volatility,allowing traders to better manage their portfolio.If they expect to increase or decrease market volatility,they can use long-term bullish or put options on the VIX to try to validate their forecasts.Needless to say,VIX options are very powerful risk management tools.In summary,if the VIX option can be accurately priced,this will increase the efficiency of investor investment.Based on the maturity of the foreign options market,foreign scholars have been studying the volatility index and VIX options for a long period of time.However,due to the late start of options trading in the country,the options market is not yet mature,and the China International Stock Index(IVX)launched on the Shanghai Stock Exchange is also It has not been popularized and its method of preparation has not been announced.Therefore,this paper intends to select Shanghai 50 ETF to study the pricing of Shanghai 50 ETF options.The research idea of this paper is that taking into account the current situation of the Chinese option market,the data selected in this paper are the Shanghai 50 ETF and the Shanghai 50 ETF options.The experimental four models simulate the theoretical price of the Shanghai 50 ETF options,and finally the model is based on the square of the price error(MSE).Simulated effects on option prices.First,use the BSM model to calculate the theoretical price of the Shanghai 50 ETF option.Due to the assumption of the BSM model,the yield of the underlying asset is subject to a normal distribution.This assumption differs from the actual one,and the skewness and kurtosis are further considered on the basis of the BSM model.This led to the GC model.Although the GC model considers the kurtosis and skewness,the disadvantage is the introduction of new parameters and the actual operation will be complicated.Based on BSM and GC models,in order to make it easier to operate in the option market,this paper also elicited an implicit volatility equation(IVF model)that uses the least squares method to estimate the parameters of the implicit volatility equation.In order to get a better option price,the least mean square error is used to solve the parameter of the implicit volatility equation,which is the MIVF model.