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本文基于Black-Scholes定价模型对上证50ETF期权的价格进行实证研究,用控制变量法分析影响期权价格的五个因素(标的资产现价、期权执行价格、无风险利率、波动率、期限),通过R软件实现对上海证券交易所挂牌交易的上证ETF期权的实证检验,将利用Black-Scholes模型计算出来的期权理论价格与实际收盘价进行对比,分析实际期权价格与测算价格差异产生的原因。
Based on the Black-Scholes pricing model, this paper conducts an empirical research on the price of the Shanghai 50ETF option, and analyzes the five factors (the underlying asset price, the option execution price, the risk-free interest rate, the volatility and the maturity) The software realizes the empirical test of the Shanghai ETF options listed on the Shanghai Stock Exchange, compares the theoretical and actual prices of the options calculated by using the Black-Scholes model, and analyzes the reasons for the difference between the actual option price and the measured price.