Author(s)

Wang Xudong ¹

Affiliation(s)

¹ School of Economics and Management, Changchun University of Science and Technology, Changchun, Jilin, China

Corresponding Author

Wang Xudong

ABSTRACT

The development of the financial market has always been accompanied by a variety of risks, and with the continuous improvement of the financial market and the increase of investor demand, the society's demand for risk avoidance tools is also increasing, and CSI 300 stock index options as a new type of financial derivatives can largely make up for the vacancy of China's options market, in risk control and price discovery can play a huge role. Therefore, it is very important to study its functions and predict the price. This paper uses the option pricing model B-S model as the pricing basis and combines the GARCH model to analyze the volatility of the CSI 300 Index yield, so as to complete the construction of the pricing model and predict the future trend of option prices and analyze the effectiveness of model pricing. Finally, according to the empirical results, some suggestions are provided on the accurate pricing of options, so as to promote the healthy development of the options market.

KEYWORDS

CSI 300 stock index, B-S model, GARCH model, option pricing

CITE THIS PAPER

Wang Xudong, Pricing research on CSI 300 stock index options based on B-S model and GARCH model. Financial Engineering and Risk Management (2023) Vol. 6: 48-55. DOI: http://dx.doi.org/10.23977/ferm.2023.060108.

REFERENCES

[1] Wang. Comparative analysis of option pricing under B-S model and GARCH model [J]. Modern Economic Information, 2012(19):146-147.
[2] F. Black, M. Scholes. The Price of Option and Corporate Liabilities [J]. Journal of Political Economics, 1973, (80): 637-659.
[3] R. C. Merton. Theory of Rational Option Pricing [M]. Sant Monica: The Rand Corporation,1973: 141-183.
[4] Zhang Haolin. Research on SSE 50 ETF Option Pricing Based on GARCH Family Model [J]. Times Finance, 2018(12):4-4.
[5] YANG Xiaohui, WANG Yubin. Empirical analysis of volatility and implied volatility based on GARCH model: An example of SSE 50 ETF options [J].Financial Theory & Practice,2019(05):80-85.
[6] Luo Jian. Research on option pricing based on GARCH-SVM volatility modeling based on improved B-S model [D]. Shandong University,2021.

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