An Empirical Study Of CSI 300 Stock Index Option Pricing Under The Time Varying Risk Aversion

On December 23,2019,the CSI 300 stock index options were listed on the China Financial Futures Exchange.In the past three years,the total annual turnover and total annual turnover of the CSI 300 stock index options have grown rapidly and have developed into the second largest trading variety of Chinese financial options.In the process of option trading,the reasonable pricing of options is undoubtedly a key part of the whole transaction.However,the existing literature lacks the pricing research of CSI 300 stock index options.At the same time,the existing option pricing models imply the assumption that the investor ’s risk aversion attitude remains unchanged,which leads to the inadequacy of the pricing model in characterizing the underlying asset price dynamics.Therefore,this paper constructs a TVRA-Hesston model that implies the time-varying risk aversion characteristics of investors by incorporating the timevarying risk aversion characteristics into the classical Heston model,and takes the CSI 300 stock index options as the research object for pricing research.The main research contents of this paper are as follows:Firstly,this paper defines the related concepts of option pricing,and analyzes the development status of CSI 300 stock index options.At the same time,the descriptive statistical analysis of the CSI 300 stock index index,the underlying asset of the CSI 300 stock index option,is carried out.It is found that the logarithmic yield of the CSI 300 stock index has obvious’ left deviation ’,’ peak ’ and ’ thick tail’ phenomena,and the volatility of the yield also has time-varying and clustering.Then the model construction and parameter estimation.Based on the statistical characteristics of the logarithmic return rate of the CSI 300 stock index,this paper considers the construction of a stochastic volatility model to study the pricing of the CSI 300 stock index options.Based on the Heston model,this paper introduces the mean reversion process into the long-term variance mean,and proves that this process can give investors time-varying risk aversion characteristics in the new model through theoretical derivation.Further,the asset price dynamics of the new model under the risk-neutral probability measure Q is derived,and the European call option pricing formula under the new model is obtained by combining the Monte Carlo simulation method.At the same time,the simulated annealing algorithm is selected as the parameter estimation method of the new model.Finally,the empirical test.Based on the transaction data of CSI 300 stock index options from listing to February 28,2022,this paper obtains 3382 in-sample option transaction data and 4048 out-of-sample option transaction data after screening according to certain standards.Through the Monte Carlo simulation method,the change path diagram of the relative risk aversion coefficient of investors under the Heston model and the new model is obtained.In practice,it is verified that the new model constructed in this paper can describe the more real time-varying risk aversion characteristics of investors.Using the selected CSI 300 stock index option contract data for pricing experiments,it is found that the new model has better pricing effect than the Heston model and the BS model,and the higher the real value of the option and the longer the maturity period,the better the pricing effect of the new model.