金融工程专业 对我国沪深300金融商品的障碍期权定价研究分析VIP专享VIP免费

对我国沪深300金融商品的障碍期权定价研究摘要近年来，中国资本市场发展迅速，但产品结构单一的问题依然突出。在这样的历史背景下，2013年10月8日，中国金融期货交易所推出了沪深300期权模拟交易。这一举动显得尤为重要，此举不仅提高了投资者在资本市场的投资水平，也代表着我国在期权市场产品的发展又更近了一步，同时也为沪深300股指期权产品的正式推出起到了很好的铺垫作用。中国第一个上市的场内交易期权产品“上证50ETF期权”，是上交所于2015年2月9日正式发布的，由此，中国开始了期权市场快速发展的时代。期权作为近年来备受投资者青睐的金融衍生品，具有杠杆性较强的特点，简单的理解就是投资人可以用较低的权利金，就可以获得博取较大收益的机会。该特点为期权创造了巨大的市场，尤其是彩虹期权、障碍期权等奇异期权，这可以更好地帮助投资者在初始期权的基础上规避风险，具有很大的发展潜力。随着我国证券市场发展的成熟与完善，我国的期权品种也日益丰富，于是对新的期权种类、产品的研究研发就显得更为重要。鉴于此，本文基于B-S-M模型和GARCH模型对沪深300ETF障碍期权进行了定价研究。关键词：沪深300股指期权，障碍期权，期权定价，B-S-M模型，GARCH模型，ResearchonCSI300financialderivativespricingmodelofthebarrieroptionsinChinaAbstractInrecentyears,China'scapitalmarkethasdevelopedrapidly,buttheproblemofsingleproductstructureisstillprominent.Againstsuchahistoricalbackground,onOctober8,2013,ChinaFinancialFuturesExchangelaunchedcsi300optionsimulationtrading.Thismoveisparticularlyimportant,whichnotonlyimprovesthelevelofinvestmentofinvestorsinthecapitalmarket,butalsorepresentsafurtherstepinthedevelopmentofoptionsmarketproductsinChina.Meanwhile,italsoplaysagoodroleinpavingthewayfortheformallaunchofcsi300stockindexoptionsproducts."Sse50ETFoptions",thefirstlistedexchange-tradedoptionproductinChina,wasofficiallyreleasedbytheShanghaistockexchangeonFebruary9,2015,fromwhichChinabegantheeraofrapiddevelopmentoftheoptionmarket.Option,asafinancialderivativefavoredbyinvestorsinrecentyears,hasthecharacteristicsofstrongleverage.Asimpleunderstandingisthatinvestorscangettheopportunitytogainlargerprofitswithlowerroyalty.Thisfeaturehascreatedahugemarketforoptions,especiallyrainbowoptions,barrieroptionsandotherexoticoptions,whichcanbetterhelpinvestorstoavoidrisksonthebasisoftheinitialoptions,withgreatdevelopmentpotential.WiththematurityandperfectionofthedevelopmentofChina'ssecuritiesmarket,thevarietyofoptionsinChinaisincreasinglyrich,sotheresearchanddevelopmentofnewtypesofoptionsandproductsismoreimportant.Inviewofthis,basedonb-smodelandGARCHmodel,thispaperconductspricingresearchonshanghai-shenzhen300ETFbarrieroptions.Keywords:CSI300stockindexoptions,barrieroptions,optionpricing,B-S-Mmodel,GARCHmodel,目录.............................................................................1.................................................................1.............................................................2...............................................................3...................................................................3.......................................................................3.......................................................3.........................................................3.............................................................4............................................9.............................................9...........................................10...........................................................