学术研究前沿| Pricing of Shanghai stock exchange 50 ETF options based on different volatility models

研究成果：Pricing of Shanghai stock exchange 50 ETF options based on different volatility models

作    者：吴庆春

发表期刊：Plos one, 2023, 18(12): e0288266.

内容简介：On March 15, 2022, the volume of trade of the Shanghai Stock Exchange (SSE) 50 ETF option contracts and the CSI 300 ETF option contracts exceeded 10 million for the first time,of which 5,707,400 50 ETF options were traded, and SSE 50 ETF options, as the main force, has become one of the most active ETF option varieties in the world after seven years of vigorous development. The SSE 50 ETF options receive highlights in risk-free arbitrage,hedging, risk management and other aspects. In order to give full play to the function of the SSE 50 ETF options, it is necessary to conduct studies on their pricing. This paper adopts the traditional classical models for pricing European-style options, the BSM model and the volatility model, to price call options and put options of the SSE ETF, and meanwhile analyzes the volatility of the SSE 50 ETF. The empirical results suggest that (1) the volatility of SSE 50 ETF has a weak leverage effect or no leverage effect, which converges with the existence of the inverse leverage effect of the SSE index; (2) the BSM model will underestimate the price of SSE 50 ETF options and is only ideal for pricing in-the-money (ITM) options; while out-of-the-money (OTM) options are highly influenced by time value and therefore cannot be accurately priced.

（中文摘要）历经7年的蓬勃发展，2022年3月15日，上证50ETF期权合约和沪深300ETF期权合约成交量首次突破1000万张，其中，50ETF期权成交570.74万张，作为主力军的上证50ETF期权，已成为全球最活跃的ETF期权品种之一。上证50ETF期权在无风险套利、套期保值、风险管理等方面的作用越来越被人们所重视，为了充分发挥上证50ETF期权的功能作用，对其进行定价研究是必要的。本文采用对欧式期权定价的传统经典模型——BSM模型和波动率模型，对上证ETF期权的认购期权和认沽期权进行定价，同时分析上证50ETF的波动性。实证结果表明：（1）上证50ETF的波动具有弱杠杆效应或不存在杠杆效应，与上证指数存在反杠杆效应的情况趋同；（2）BSM模型会低估上证50ETF期权的价格，并且只有对实值期权的定价是理想的，虚值期权受时间价值的影响大，无法进行精准定价。

期刊简介：《PLOS ONE》is an inclusive journal community working together to advance science for the benefit of society, now and in the future. Founded with the aim of accelerating the pace of scientific advancement and demonstrating its value, we believe all rigorous science needs to be published and discoverable, widely disseminated and freely accessible to all.（SCI 3区）

作者简介：吴庆春，陈守仁商学院副教授，博士，硕士生导师，陈守仁商学院经济系副主任，福建省科技特派员。主要从事金融、生态经济等教学与科研工作。主持完成2项省部级项目，指导完成省级大学生创业项目1项，主持参与10多项市厅级课题，纵向课题经费累计30余万元，在专业权威核心期刊等发表文章30余篇。