考虑国际金融风险影响的上证50ETF期权定价研究  

Option Pricing for SSE 50ETF Considering Impact of International Financial Risks

作　　者：孙有发[1] 姚宇航 龚翼山 邱梓杰 刘彩燕[2] SUN Youfa;YAO Yuhang;GONG Yishan;QIU Zijie;LIU Caiyun(School of Economics,Guangdong University of Technology,Guangzhou 510520,China;School of Management,Guangdong University of Technology,Guangzhou 510520,China)

机构地区：[1]广东工业大学经济学院,广东广州510520 [2]广东工业大学管理学院,广东广州510520

出　　处：《运筹与管理》2024年第6期207-213,共7页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(72271064,71771058);广东省自然科学基金项目(2022A1515011125,2017A030313400)。

摘　　要：近年来如何刻画国际金融风险对中国市场的影响,成为学术界的热门热点之一。已有文献大多集中于研究国际股票市场之间的风险溢出效应,较少关注国际股票市场对中国期权市场的风险外溢效应。本文将标普500ETF走势嵌入上证50ETF的收益率过程,构建IFR_BS模型(BS Model with the Impact of International Financial Risk);然后应用特征函数微扰法和Fourier-Cosine定价方法,推导出该模型下欧式期权的近似解析定价公式。数值实验和实证结果表明:(1)IFR_BS模型可以较好地刻画上证50ETF收益率分布的“尖峰”、“肥尾”和“有偏”等统计特征。(2)考虑国际金融风险溢价的IFR_BS模型下的期权定价公式,可以解决BS模型对短到期期权尤其是短到期深度OTM期权估值不足的问题。In recent years,the outbreak of COVID-19,fluctuations in energy market prices,and other global events have led to increasingly frequent occurrences of risk contagion across international financial markets.Understanding how international financial risks impact the Chinese market has become a prominent topic in academia.Most existing literature focuses on the stock market,using models such as risk spillover networks to study the mechanism and impact of international financial risks on China’s stock market.However,there has been relatively less focus in the literature on the risk spillover effects from international stock markets to China’s options market.Building on existing empirical findings,we select the price fluctuations of the S&P 500 ETF from the US market as an exogenous risk source for China’s options market.Specifically,the initial outbreak of COVID-19 from February to April 2020 serves as the sample period to better examine the extreme financial risks from international markets on China’s options market.Inspired by the emerging field of economic physics,we employ an underdamped second-order system’s step response function to capture the turbulent patterns of the S&P 500ETF during the pandemic.This function is then embedded into the return process of the SSE 50ETF prices,constructing a BS model that incorporates international financial risks,referred to as the IFR_BS model.However,financial physics models like the IFR_BS model typically pose challenges in deriving analytical expressions for options.Traditionally,numerical methods such as Monte Carlo simulations or finite difference methods are used for option pricing,but these approaches are limited by low computational efficiency and the inability to calibrate parameters in real-time,thus constraining practical applications.In recent years,Fourier transform-based analytical pricing algorithms,particularly the Fourier-Cosine method,have garnered wide attention due to their efficiency and precision.Nevertheless,this method heavily relies on the a

关 键 词：期权定价 国际金融风险 欠阻尼函数 特征函数微扰法 Fourier-Cosine方法 

分 类 号：F830.99[经济管理—金融学]