股票指数期权在中国的适用性:基于期权定价模型的分析  

Adaptability of European Stock Index Options in China:An Analysis Based on an Option Pricing Model

作　　者：王政[1] 吕卓易[2] 牟晨冰[3] 黄雪松[4] 

机构地区：[1]中国社会科学院,中国北京100732 [2]厦门大学,福建厦门361005 [3]山东财经大学,山东济南250014 [4]南昌大学,江西南昌330031

出　　处：《山东青年政治学院学报》2011年第5期103-106,共4页Journal of Shandong Youth University of Political Science

摘　　要：Fischer Black、Myron Scholes和Robert Merton于1973年就建立了Black-Scholes模型,该模型为股票指数期权定价提供了理论依据。本文假定了一份欧式沪深300指数期权合约,并对波动率、无风险利率等5个参数进行了估计,然后利用Black-Scholes模型对该股票指数期权进行了定价研究,并以此为基础,对股票指数期权在我国证券市场的适用性进行了分析。结果表明,股票指数期权在我国是适用的。In 1973, Fischer Black Myron Schole and Robert Merton had established the B -S Option Pricing Model, which provides a theoretical basis for the pricing of European stock index options. This paper constructed a CSI 300 index option contract, and made an estimation of five influential factors of the pricing of stock index options including volatility and risk free interest rate, and then conducted a pricing research using the Black - Scholes Option Pricing Model, based on which we analyzed the adaptability of stock index options in Chinese securities market. The results showed that it is applicable for China to introduce stock index options.

关 键 词：股票指数期权 Black—Scholes期权定价模型 套期保值 

分 类 号：F830.91[经济管理—金融学]