Empirical Research On Option Pricing Based On Black-Scholes Model

As a financial derivative product,option’s main function is risk management.Reasonable pricing of options will help investors make rational decisions and effectively avoid possible risks;financial regulatory authorities will price options reasonably,which will help standardize the management of the market.In 1973,the Black-Scholes model was proposed,which made a great breakthrough in option pricing.In recent years,China has also introduced new types of option contracts one after another.So,it is of great significance to study how to price China’s option products.Three SSE 50ETF option contracts expiring in June 2019 and three CSI 300ETF option contracts expiring in September 2020 are selected as research samples in this paper,and calculates the price of the sample options based on the Black-Scholes model.Firstly,according to the daily closing prices of the underlying assets in the past three years,the maximum likelihood method is used to estimate the parameters in the GARCH model,and the volatility of the research sample is predicted;then,the predicted volatility is substituted into the Black-Scholes option pricing model,and the finite difference method is used to obtain the numerical solution of the Black-Scholes equation,and the theoretical price of the option contract is obtained;at last,the stability,convergence and rationality of the calculation results are analyzed empirically.By calculating the correlation coefficient between the theoretical price and the actual price,the degree of fit is compared;by calculating the correlation index,the error between the theoretical price and the actual price is compared.The final results show that the theoretical price and the actual price calculated in this paper have the same trend of change and share a small degree of error.Therefore,the method used in this thesis can reasonably price the options contracts of the SSE 50ETF and the CSI 300ETF.