| In the past two years,China’s capital market has experienced ups and downs and violent fluctuations.As a financial derivative to avoid risk and arbitrage,stock index option plays an increasingly prominent role in the financial market.However,the assumption of constant volatility in the Black Scholes model,which is the basis of option pricing,is contrary to the reality of the market.Many studies have shown that SVI model,as a representative of local volatility model,can effectively fit the implied volatility curve of the market,and has strong advantages in describing the actual volatility of the market.In a volatile market,it has certain theoretical significance and practical value to study whether we can accurately describe the fluctuation state of China’s stock index option market through SVI model and make profits through relevant volatility strategies.This paper studies the fitting effect of SVI model on the actual volatility of CSI300 stock index option market based on the minute level high-frequency trading data of CSI 300 stock index option from the date of listing of CSI 300 stock index option on December 23,2019 to December 23,2021.Based on the model fitting results,the unilateral trading and dynamic hedging strategies are designed,the transaction data during the study period are used for back-test analysis,and the differences of back-test results under different parameter constraints are discussed.From the results of this study,for the actual trading data of China’s CSI 300 stock index options,SVI model can indeed give robust parameter estimation,and has better fitting effect on volatility curve and surface.Compared with other random volatility models,SVI model also has certain advantages.We can conclude that SVI model can provide model support for option pricing and the implementation of trading strategy.The results of unilateral trading strategy and dynamic trading strategy have both achieved good performance,which further confirms the applicability and profitability of SVI model in CSI 300 stock index option market. |
