作　　者： (方艳）; (张元玺）; (乔明哲）;

机构地区： 上海对外经贸大学金融管理学院,上海201620 上海财经大学统计与管理学院,上海200433

出　　处： 《运筹与管理》 2017年第8期157-166,共10页

摘　　要： 上证50ETF期权作为中国资本市场上股票期权的第一个试点产品,其定价问题尤为重要。本文分别运用B-S-M期权定价模型和蒙特卡罗模拟方法对其定价进行实证研究,分析结果表明:1)IGARCH模型比传统的GARCH模型更能较好地拟合上证50ETF的波动率;2)当模拟次数为1000时,蒙特卡罗方法的效率一致地高于B-S-M模型,并且除了对偶变量技术的拟蒙特卡罗其他模型的精确度也都高于B-S-M模型;3)B-S-M模型和蒙特卡罗模拟方法都可以较为准确地、有效地模拟出上证50ETF期权价格。这些研究将为今后期权定价模型的发展和完善提供必要的参考和指引。 As the first pilot option product in China＇ s capital market, the pricing of Shanghai Stock Exchange （SSE）5OETF option is particularly important. In this paper, both Black-Scholes-Merton（B-S-M）method and Monte Carlo simulation method will be used for SSE 50ETF option pricing. The empirical analysis indicates that： 1, IGARCH model is better than the traditional GARCH model in characterizing the dynamic volatility for SSE 50ETF options return; 2, with 1000 simulation running, Monte Carlo simulation methods are consistently more efficient than B-S-M; furthermore, except for quasi-Monte-Carlo simulations with dual variable, all pricing obtained from other Monte Carlo methods are more accurate than the one from B-S-M; 3, both B-S-M method and Monte Carlo simulation method can accurately and effectively simulate the SSE 50ETF options pricing. This study will provide the essential reference and guidance for the development of future option pricing model.

关 键 词： 模型 蒙特卡罗模拟 拟蒙特卡罗模拟 上证 期权 模型