基于单月期限的沪深300ETF期权定价实证研究  

Empirical study on pricing of CSI 300 ETF option based on one month term

作　　者：封文丽[1] 王艺林 Feng Wenli;Wang Yilin(School of Finance,Hebei University of Economics and Business,Shijiazhuang 050061)

机构地区：[1]河北经贸大学金融学院,河北石家庄050061

出　　处：《湖南文理学院学报（自然科学版）》2021年第1期9-14,共6页Journal of Hunan University of Arts and Science(Science and Technology)

基　　金：河北省研究生示范课程建设项目(KCJSX2018078)。

摘　　要：针对在2019年12月份上市的沪深300ETF期权,收集其在2020年1~9月9个单月的市场真实交易数据,使用期权定价模型进行实证研究。借助经典B-S-M模型和考虑支付已知股息率B-S-M模型2种期权定价模型分别计算每个单月期限的沪深300ETF看涨看跌期权理论价,并与市场价综合比较后可知,支付已知股息率的B-S-M模型均方误差更小且更精准,从而显现出支付已知股息率B-S-M模型的有效性优势。Based on the CSI 300 ETF options listed in December 2019,nine real Monthly market trading data are collected from January to September in 2020,and the Option pricing model is used to empirical research.Based on the classical B-S-M model and the B-S-M model of paying known dividend rate,two option pricing models are used to calculate the theoretical prices of call and put options of CSI 300 ETF with each one month term.After comprehensive comparison with market prices,the B-S-M model of paying known dividend rate has smaller mean square error and more accurate,which shows the effectiveness advantage of the B-S-M model of paying known dividend rate.

关 键 词：沪深300ETF期权 华泰柏瑞沪深300ETF 支付已知股息率B-S-M模型 

分 类 号：F830.91[经济管理—金融学]