Empirical Research For Option Pricing Of Shanghai 50ETF

On February 9 in 2015,the Shanghai 50ETF option was officially traded on the Shanghai Stock Exchange.The introduction of Shanghai 50ETF option,which makes up the blank of stock options in China's securities market,helps to enrich investors'trading strategies and risk management means.The key of the option is the pricing problem,and the reasonable price discovery is the basis of a series of transaction,such as arbitrage,hedging strategies.Therefore,this paper makes use of volatility model and option pricing formula to study and analyze the 50ETF options from the point of view of option pricing.In this paper,we first simulate the yield of Shanghai 50ETF daily closing price,and verify the rationality to describe the volatility of returns by the GARCH model and SV model from the analysis of sample sequence's stationarity,autocorrelation,heteroskedasticity and peak and fat tail characteristics.Then we apply the GARCH model and the SV model into the B-S model to evaluate the Shanghai 50ETF option.We find that the pricing effect of B-S model combined with GARCH model is better than that of SV model for both the call option and the put option.And based on the initial,middle and late stages of the option,two models on the call options and the put options are given respectively.Based on these conclusions,it can provide reference and guidance for domestic options investors.