上证50ETF期权的定价方法与风险控制研究

The Pricing of SSE 50ETF Options and Risk Control Research

摘要: 基于直接法、广义自回归条件异方差模型(GARCH模型)和马尔科夫转换模型对上证50ETF年对数收益率的波动率进行估计，并通过Black-Scholes期权定价模型计算期权价格。实证分析的结果显示GARCH模型适用于标的资产比较稳定的情况而马尔科夫转换模型在标的资产表现出明显上升或下降趋势时表现良好，从而给出选取定价方式的标准。然后采用VaR方法衡量在期权投资中产生的金融风险。其中具体的计算方法包括历史模拟法以及采用波动率序列的参数解析法，我们也讨论两种方法的优缺点。

Abstract: Based on Direct Method, GARCH Model and Markov Switching Model, the annual logarithm yields of Shanghai 50ETF were estimated and therefore the option price can be computed by Black-Scholes option pricing formula. Empirical results show that GARCH Method is more suitable when the un-derlying assets are relatively stable while Markov model performs better when the underlying as-sets show obvious trend of rising or falling and this could be the criterion of choosing pricing me-thods. After pricing options, VaR method is used to measure the financial risk of different options. The concrete computation methods used here are historical simulation VaR and the parametrically method with variance sequence which have their own advantages respectively.