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论文编号：	13090
作者编号：	2120202872
上传时间：	2022/6/6 16:19:05
中文题目：	基于历史波动率与隐含波动率的期权定价效率研究 ——以沪深300股指期权为例
英文题目：	Research of Option Pricing Efficiency Based on Historical Volatility and Implied Volatility: A Case Study of SCI 300 Stock Index Options
指导老师：	王永进
中文关键字：	期权定价；隐含波动率；沪深 300 股指期权
英文关键字：	Option Pricing; Implied Volatility; CSI 300 Stock Index Options
中文摘要：	期权被广泛应用于风险管理，除此以外，人们还可以利用期权进行投机、套利等活动，可以说期权在金融市场占据着重要的地位。我国的期权市场起步较晚，目前国内的期权品种相对较少，期权市场不如国外活跃。但随着我国资本市场的加速发展，市场对期权产品的需求也会愈加强烈。沪深300股指期权是我国第一支也是目前唯一一支股指期权，自2019年12月23日上市以来，交易量稳步提升，持仓规模持续增加，未来随着中国资本市场的发展以及投资者专业性的提升，沪深300股指期权会有很大的发展空间。由于我国期权市场起步较晚，研究期权定价问题的学者也比较少，很多期权定价方法和结论都是外国学者基于他们本国的期权市场得到的，这些结论和方法不一定适用于我国的市场。因此，研究沪深300股指期权的定价问题具有重要的现实意义。 通过对国内外期权定价及波动率方面相关的文献进行梳理总结发现，研究在二叉树模型中使用隐含波动率和历史波动率的定价效率差异的文献比较匮乏，因此本文聚焦于研究在二叉树模型中使用隐含波动率和不同时间跨度的历史波动率的定价效率。 分别在二叉树模型中使用隐含波动率和不同时间跨度的历史波动率得到二叉树模型价格，通过回归分析和误差指标分析对比各波动率的定价效率。研究发现，对于看涨期权，不论是通过回归分析还是误差指标分析都可以得出使用隐含波动率定价效率最高，随后是120日历史波动率、60日历史波动率、40日历史波动率，20日历史波动率的定价效率最低。对于看跌期权，使用隐含波动率定价的效率最高，但是对于各历史波动率之间的定价效率对比，回归分析和各个误差指标分析得出的结论不尽相同，并且使用各历史波动率进行二叉树定价得到的结果与市场价格之间的误差相差不大，只能得出使用20日历史波动率的定价效率最低这个结论。研究结论也可以说明使用隐含波动率来预测沪深300指数未来走势的效果要好于历史波动率。
英文摘要：	Options are widely used in risk management. In addition, people can use options for speculation, arbitrage and other activities. It can be said that options occupy an important position in the market. The option market in China started late. At present, there are relatively few options in China and the option market is not as active as foreign countries. However, with the rapid development of China's capital market, the demand for option products will also glow. CSI 300 stock index option is the first and currently the only stock index option in China. Since its listing on December 23, 2019, the trading volume has been steadily increasing, and the size of holdings has continued to increase. In the future, with the development of China's capital market and the improvement of investors' professionalism, CSI 300 stock index options will have a great space for development. Due to the late start of China's option market, there are few scholars studying option pricing. Many options pricing methods and conclusions are obtained by foreign scholars based on their own option market, and these conclusions and methods may not be applicable to China's market. Therefore, it is of great practical significance to study the pricing of CSI 300 stock index options. By summarizing the literature on option pricing and volatility at home and abroad, it is found that there is a lack of research on the difference of pricing efficiency of using implied volatility and historical volatility in binary tree model. Therefore, this thesis focuses on pricing efficiency of using implied volatility and historical volatility of different time spans in binary tree model. Implied volatility and historical volatility of different time spans are used in the binary tree model to price options, and the pricing efficiency of each volatility is compared through regression analysis and index analysis. The research finds that for call options, whether through regression analysis or index analysis, it can be concluded that implied volatility has the highest pricing efficiency, followed by 120-day historical volatility, 60-day historical volatility, 40-day historical volatility, and 20-day historical volatility has the lowest pricing efficiency. For put options, the implied volatility’s pricing efficiency is highest, but for the pricing efficiency of the contrast between the historical volatility, conclusions of regression analysis and each index analysis are not the same, and the difference of their efficiency is not big, we can only draw the conclusion that the pricing efficiency with 20-day historical volatility is the lowest. The research conclusion also shows that implied volatility is better than historical volatility in predicting the trend of CSI 300 index.
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