| As an important financial derivative,options have become increasingly mature in the domestic market in recent years.Since the famous Black-Scholes option pricing model was introduced in 1973,it has been accepted,promoted,and applied by the market for a long time.However,due to the inconsistency between the short-selling restrictions in the domestic stock market and the basic assumptions of the B-S model,the B-S model is prone to large deviations in the domestic market,which also reduces its practicality and accuracy in the domestic market.Therefore,in this paper,under the condition of short-selling restrictions in the spot market,the futures market is used as a tool for hedging to construct a portfolio value model,and futures are chosen as assets to hedge the option value.In this way,the partial differential equation and boundary conditions of option pricing are obtained.The analytical expressions of the European option pricing formula are derived by using the partial differential equation method and the equivalent martingale measure method.The research results show that under the new model,option prices are affected by some potential relationship between futures prices and stock prices at expiration time.In particular,when there is no short-selling restriction in the spot market,the option pricing model established in this paper can be degraded to the classical B-S model and Black model.Finally,taking the CSI 300 stock index futures and CSI 300 stock index options as the research object,reasonable parameter estimates are given in each model,and error analysis indexes are combined to analyze the pricing prediction of each model.The empirical analysis results show that the new model has a better pricing effect than the B-S model and the Black model in the domestic market,and its predicted price trend is consistent with the actual market price. |
