Research On The Trading Strategies Of Stock Over-the-counter Options

Option as an important financial derivative product plays an important role in the financial market.At the same time,it can avoid risk well and guide market participants to invest as an important tool of hedging.In addition,the first Exchange-traded option in our country,that is,the 50 ETF option of Shanghai Stock Exchange was officially listed in February2015.The Regulatory Commission issued a new management measure in September 2015,which changed the OTC(Over-The-Counter)option transaction from the review system to the filing system,so as to make the OTC option transaction more legalized and standardized.On the other hand,it has also increased the interest of securities firms,futures companies,private equity firms and individual investors in the investment of OTC options.As a result,the Exchange-traded option and OTC option trading market has begun to be established and developed in our country.It also can be seen that the option market in China is also in the process of continuous improvement with the continuous development and perfection of the financial market in China.In this paper,it mainly studies the commonly used options of OTC stock options,such as Shanghai and Shenzhen 300,Shanghai Stock Exchange 50 and Chinese Stock Exchange 500 of30 days,90 days and 180 days of European options.On the one hand,it predicts the hidden volatility of Black-Scholes option pricing model by constructing Bayesian long and short time neural network ensemble.From the experimental result,it shows that the effect of Bayesian long and short time neural network ensemble is better than traditional cyclic neural network ensemble as well as long and short time neural network ensemble.On the other hand,it carries out the investment analysis of the real OTC option,which takes the OTC option quotation of Financial Securities as an example.As a result,it is concluded that the OTC options of Shanghai and Shenzhen 300 and Shanghai Stock Exchange 50 are suitable for investment,while Chinese Stock Exchange 500 is not suitable for the investment of OTC option due to the instability caused by its constituent shares.