The BS Theoretical Price Of Shanghai 50 ETF Options

DOI

10.2991/emcs-17.2017.81How to use a DOI?

Keywords

Black-schools option pricing model; Shanghai 50 ETF options; Closed price; Delta; Rho

Abstract

The purpose of this paper is to study option pricing problems in the Chinese market based on the Black-Scholes Option Pricing Model, compare the theoretical prices and the actual price and analyze the reason of the difference.It calculated the BS theoretical price of Shanghai 50 ETF call options with different period to lay the foundation for adjusting the module.It selected 60 Shanghai 50 ETF options (forming 11675 sample data),to calculate the BS theoretical price. In the process of calculating the BS theoretical price, it utilized the Wind data and Equivalent substitution to reduce the workload reasonably. Then it use the least square method to analyze the degree of fitting of the BS model.According the result, we find that BS model can explain the actual price of Shanghai 50 ETF option in appropriately. Consequently, investor can estimate the option value on the basis of BS theoretical price in the Shanghai 50 ETF option market.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Caicai Xu
PY  - 2017/03
DA  - 2017/03
TI  - The BS Theoretical Price Of Shanghai 50 ETF Options
BT  - Proceedings of the 2017 7th International Conference on Education, Management, Computer and Society (EMCS 2017)
PB  - Atlantis Press
SP  - 413
EP  - 416
SN  - 2352-538X
UR  - https://doi.org/10.2991/emcs-17.2017.81
DO  - 10.2991/emcs-17.2017.81
ID  - Xu2017/03
ER  -