股指期权推出效果的实证分析——以上证50ETF为例  

Empirical Analysis on the Effect of Stock Index Option Launch——Take the Shanghai 50ETF as an Example

作　　者：邓芹 侯为波[1] DENG Qin;HOU Weibo(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院

出　　处：《淮北师范大学学报（自然科学版）》2020年第1期23-28,共6页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽省高校自然科学基金项目（KJ2018A034）

摘　　要：研究股指期权的推出效果有利于投资者明确投资策略和规避风险.利用上证50ETF期权的相关数据并基于二叉树模型和Black-Sholes模型对上证50股指的市场功能、期权定价合理性、期权处理方式以及风险程度进行检验.实证结果表明,股指期权的市场功能较好、期权定价模型选择合理、执行方式合理,股指期权的推出效果良好,有利于投资者规避风险.This paper studies the launch effect of stock index option,which is helpful for investors to define investment strategy and avoid risk.Using the Shanghai 50 ETF options related data and based on binary tree model and Black-Sholes model,the Shanghai 50 index of market function,the rationality of the option pricing,options,handling the inspection as well as the degree of risk are examined.The empirical results show that the market function of stock index option is better,the option pricing model is reasonable,the execution mode is reasonable,and the stock index option is good,which is beneficial to investors to avoid risks.

关 键 词：期权定价 二叉树模型 Black-Sholes模型 市场功能 风险度量 

分 类 号：F832.5[经济管理—金融学]