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目前,股指期权呼之欲出,在这种形势下,本文对股指期权定价问题进行了研究。本文首先在GARCH模型的基础上导出期权定价估值公式,其次,在GARCH欧式股指期权定价模型的基础上,融入偏最小二乘技术,给出最终的欧式股指期权的偏最小二乘定价方法。最后,对香港恒指期权进行参数估计和GARCH建模,运用新的定价方法进行期权定价。研究发现,对最终期权价格影响最大的是GARCH模型的估计值;另外整个大盘的活跃程度、投资者情绪也有不可忽视的影响。这个结论为中国顺利发展指数期权市场提供了坚实有力的定价依据。
At present, the stock index options are ready to come out. Under such circumstances, this paper studies the pricing of stock index options. Firstly, this paper derives the pricing formula of option pricing based on GARCH model. Secondly, based on the GARCH European stock option pricing model, the partial least squares technique is integrated and the final PLS pricing method of European stock options is given. Finally, the parameters of Hong Kong HSI options and GARCH modeling, the use of new pricing methods for option pricing. The study finds that the most influential factor on the price of the final option is the estimated value of the GARCH model. In addition, the activity of the entire market and the investor sentiment also have a significant impact. This conclusion provides a solid and powerful basis for China’s smooth development of the index option market.