基于Black-Scholes模型的沪深300股指期权定价研究

2013年11月8日,沪深300股指期权仿真交易开始在中国金融期货交易所运行,这意味着我国即将正式推出股指期权交易项目。基于Fischer Black、Myron Scholes和Robert Merton于1973年建立的Black-Scholes期权定价模型可以对沪深300股指期权定价进行模拟实证研究,计算出期限为1个月的沪深300股指期权合约的看涨期权价格和看跌期权价格,通过比较模拟交易数据,可以看出使用该定价模型可以较为准确地模拟出沪深300股指期权价格,从而显示出Black-Scholes期权定价模型对沪深300股指期权定价的有效性。

CSI 300 Index Option Pricing-Based on Black-Scholes Model

Mock trading of the CSI 300 Index Option has begun in China Financial Futures Exchange at Novem- ber 8,2013 ,which means that the CSI 300 Index Option trading item will be officially launched in China. We use Black-Scholes Option Pricing Model which was established by Fischer Black, Myron Scholes and Robert Merton in 1973 to study on the CSI 300 Index Option pricing through empirical research. We figured out the price of one month CSI 300 Index Option about call option and put option. By comparing the simulate trading data,we think that using this pricing model can accurately simulate the CSI 300 Index Option prices,thus demonstrating the effectiveness of the Black-Scholes Option Pricing Model on pricing CSI 300 Index Option pricing.