科创50ETF期权价值评估及影响因素研究  

Research on the Valuation and Influencing Factors of STAR 50ETF Option

作　　者：梁馨月 张胜良 LIANG Xinyue;ZHANG Shengliang(School of Economics and Management,Nanjing Forestry University,Nanjing Jiangsu 210037,China)

机构地区：[1]南京林业大学经济管理学院,江苏南京210037

出　　处：《金融理论与教学》2024年第5期36-43,共8页Financial Theory and Teaching

基　　金：国家社科基金后期资助项目“中国林业碳汇价值攀升机制研究--基于新型实物期权理论”(23FJYB002);教育部人文社科基金项目“基于两种市场决策机制的林业碳汇项目价值评估研究”(21YJC790162);江苏省社科基金一般项目“‘双碳’目标下苏北杨树产业碳汇价值实现机制及支持政策研究”(22EYB010);南京林业大学2019年度专业学位研究生课程案例库项目“金融期权类衍生品定价”(163060130)。

摘　　要：科创板期权产品的开设和交易有利于提升标的资产的定价效率和市场流动性。研究以科创50ETF期权为研究对象,采用二叉树模型对科创50ETF期权的理论价值进行评估,并通过利率、波动率等不确定性因素对期权价值进行敏感性分析。结果表明:与市场价值进行比较,发现大多数时间内科创50ETF期权价格是被高估的,并且看涨期权的定价误差高于看跌期权,虚值期权的定价误差高于实值期权;当波动率为0.3或利率为0.04时,理论价格最接近市场价格。基于结论提出两点建议:一是适时推出科创板期权产品;二是完善金融产品体系,提升风险管理质效。The opening and trading of option products on the Science and Technology Innovation Board(STAR)is conducive to improving the pricing efficiency and market liquidity of the underlying assets.Taking STAR 50ETF option as the research object,the binary tree model is used to evaluate the theoretical value of STAR 50ETF option,and the sensitivity analysis of the uncertainty factors such as interest rate and volatility is carried out.The results show that compared with the market value,it is found that the price is overvalued most of the time,and the pricing error of the call option is higher than that of the put option,and the pricing error of the out-of-the-money option is higher than that of the in-the-money option.The theoretical price is closest to the market price when the volatility is 0.3 or the interest rate is 0.04.Based on the conclusions,two suggestions are put forward:first,timely launching option products of Science and Technology Innovation Board;second,perfecting the financial product system and improving the quality and efficiency of risk management.

关 键 词：科创50ETF期权 二叉树模型 期权定价 敏感性分析 

分 类 号：F832.51[经济管理—金融学] F426.63