摘要
本文对上证50ETF期权的实际日内时间价值变化模式进行研究,并与理论日内时间价值进行比较,从日内时间价值的角度探讨期权日内定价效率。本文发现短期限平值期权的实际日内时间价值与理论值差异最大,其他期权的日内差异小.利用实际时间价值与理论值的日内差异,对短期限平值期权构造交易策略确实可以获得累计正收益.考虑交易费用后,则无法拒绝日均收益为0的假设,即日内差异在市场摩擦允许的范围内.因此从日内时间价值角度来看,样本期内50ETF期权日内定价效率良好.
This paper studies the time value intraday pattern of SSE 50ETF options,compares it with the theoretical time value and discusses the intraday pricing efficiency of options from the perspective of time value.We find that,compared with medium and long-term options,the actual intraday time value of short-term options is quite different from the theoretical value.Additionally,this paper constructs a trading strategy to testify the above findings and obtains positive accumulated profit.The profit is insignificant if the actual transaction cost is considered.That is the intraday difference is allowed by market friction.Thus,the SSE 50ETF options have good overall pricing efficiency during the sample period.
作者
郑振龙
杨丽萍
阮启宏
ZHENG Zhen-long;YANG Li-ping;RUAN Qi-hong(School of Management,Xiamen University,Xiamen 361005,China;The School of Economics,Xiamen University,Xiamen 361005,China;The Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China)
出处
《数理统计与管理》
CSSCI
北大核心
2021年第5期914-931,共18页
Journal of Applied Statistics and Management
基金
国家自然科学基金面上项目(71871190)
国家自然科学基金重大项目(71790601)
国家自然科学基金面上项目(71471155).
