摘要
本文以沪深300ETF为研究对象,利用沪深300ETF的日收盘价和沪深300ETF期权合约数据,检验沪深300ETF的对数日收盘价的正态性。根据B-S模型进行定价。由于B-S模型中波动率为常数,与现实市场观测到的“波动率微笑”曲线不符,故引入heston模型进行定价。对于heston模型中需要确定的5个参数,采用模拟退火算法进行估算,比较B-S模型及heston模型对于看涨期权和看跌期权的定价效果。从而对B-S模型的假设和局限性进行分析,最终得到结论:沪深300ETF对数收盘价不服从正态分布,B-S模型中第2个假设条件——股票对数价格符合正态分布不成立。B-S模型能较好地对沪深300ETF期权进行定价,heston模型定价效果优于B-S模型,两个模型对看涨期权的定价效果均优于看跌期权的定价效果,B-S模型中第6个假设条件——股票收益波动率σ为常数并已知不成立。
This paper takes the CSI 300 ETF as the research object,and uses the daily closing price of the CSI 300 ETF and the CSI 300 ETF option contract data to test the normality of the log-day closing price of the CSI 300 ETF.Pricing is based on the B-S model.Since the volatility in the B-S model is constant,which is inconsistent with the“volatility smile”curve observed in the real market,the heston model is introduced for pricing.For the five parameters that need to be determined in the heston model,the simulated annealing algorithm is used to estimate,and the pricing effects of the B-S model and the heston model for call options and put options are compared.Therefore,the assumptions and limitations of the B-S model are analyzed,and the final conclusion is drawn:the logarithmic closing price of the CSI 300 ETF does not follow the normal distribution,and the second assumption in the B-S model,the log price of stocks,does not conform to the normal distribution.The B-S model can price CSI 300 ETF options better,the heston model has a better pricing effect than the B-S model,the pricing effect of both models on call options is better than the pricing effect of put options,and the sixth assumption in the B-S model,stock return volatilityσis constant and is known to be invalid.
作者
陈乐川
刘文文
何江
CHEN Lechuan;LIU Wenwen;HE Jiang
出处
《中国证券期货》
2022年第4期52-59,共8页
Securities & Futures of China
