怀化学院学报
懷化學院學報
부화학원학보
JOURNAL OF HUAIHUA TEACHERS COLLEGE
2015年
7期
35-38
,共4页
沪深300股指期权%GARCH模型%Black-Scholes期权定价模型%鞅方法
滬深300股指期權%GARCH模型%Black-Scholes期權定價模型%鞅方法
호심300고지기권%GARCH모형%Black-Scholes기권정개모형%앙방법
CSI 300 stock index options%GARCH model%Black-Scholes option pricing model%Martingale method
针对中国尚未推出的沪深300股票指数期权，利用广义自回归条件异方差法和鞅方法等，使用EVIEWS软件，通过构建历史波动率模型和GARCH模型估计出标的指数的波动率水平，再利用通过鞅方法推导出的考虑股息率的扩展Black－Scholes期权定价模型对沪深300指数期权进行实证研究，计算出不同波动率水平下定期支付红利的欧式期权的理论价格。
針對中國尚未推齣的滬深300股票指數期權，利用廣義自迴歸條件異方差法和鞅方法等，使用EVIEWS軟件，通過構建歷史波動率模型和GARCH模型估計齣標的指數的波動率水平，再利用通過鞅方法推導齣的攷慮股息率的擴展Black－Scholes期權定價模型對滬深300指數期權進行實證研究，計算齣不同波動率水平下定期支付紅利的歐式期權的理論價格。
침대중국상미추출적호심300고표지수기권，이용엄의자회귀조건이방차법화앙방법등，사용EVIEWS연건，통과구건역사파동솔모형화GARCH모형고계출표적지수적파동솔수평，재이용통과앙방법추도출적고필고식솔적확전Black－Scholes기권정개모형대호심300지수기권진행실증연구，계산출불동파동솔수평하정기지부홍리적구식기권적이론개격。
China has not yet launched the CSI 300 stock index options . Through the method of generalized auto-regressive conditional heteroscedasticity and martingale methods , and by using EVIEWS software , building historical volatility and GARCH estimate volatility level of the underlying index , and then using the extended Black-Scholes option pricing model derived by martingale method taking into account the dividend yield on the CSI 300 index options empirical research , this thesis calculates the different volatility levels under the regular payment of dividends of the European option price theory .
