美式股票期权的定价研究:平安股票期权的例证  

作　　者：张启文[1] 王春棣[1] 高延雷 

机构地区：[1]东北农业大学经济管理学院

出　　处：《企业经济》2016年第12期187-192,共6页Enterprise Economy

基　　金：黑龙江省社科基金项目"黑龙江省农村金融生态系统评价与发展研究"(项目编号:15JYD03)

摘　　要：上证50ETF期权的问世开启了中国股票期权的时代,中国股票期权市场发展潜力巨大,未来的几年将会迅速发展壮大,投资者可以通过购买股票期权进行风险规避或投机获利。本文采用GARCH模型进行参数估计,将股票价格的波动率用该模型预测的波动率代替,以此预测股票价格上升或是下降的概率。并运用二叉树模型对中国平安股票的美式看涨期权和看跌期权进行定价。最后,从扩大股票期权模拟交易规模、提升股票期权参与者的认知水平、提供完备的监管机制和应急方案三个层面提出了中国股票期权市场顺利起步和发展之对策。The advent of Shanghai 50 ETF begins the era of stock option in China. The development of Chinese stock option market has huge potentials, the stock option market will be developed rapidly in the next few years, and investors can buy stock options to avoid risks or obtain speculative profits. Using the GARCH model to estimate parameters, taking the place of stock price volatility with predict volatility which is produced by using GARCH model, we can predict the probability of stock price rise or fall. This paper prices American call options and put options of China＇s Ping An shares by using binary tree model. Finally, suggestions are provided from the expansion of stock options to simulate the scale of trading, improve the cognitive level of stock option participants, and provide complete supervision mechanism and emergency plans.

关 键 词：美式股票期权 GARCH 二叉树 

分 类 号：F832.48[经济管理—金融学]