| 分数布朗运动环境下上证50ETF期权定价的实证研究 |
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| 引用本文：程 潘 红1,2.分数布朗运动环境下上证50ETF期权定价的实证研究[J].经济数学,2019,(3):9-15 |
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| 中文摘要:合理的期权价格是期权交易的前提.基于上证50ETF期权的最新数据，运用经典的Black-Scholes定价模型、蒙特卡洛模拟期权定价方法和分数布朗运动定价模型对上证50ETF期权价格进行实证研究.结果表明：分数布朗运动定价模型相比较经典的Black-Scholes定价模型和蒙特卡洛方法在接近期权的实际成交价格时均方误差和均方比例误差更小，能够较为准确地、有效地模拟出上证50ETF期权的价格，从而对投资者的期权交易行为具有一定的指导作用，也为国内其他品种的期权定价研究提供参考. |
| 中文关键词:金融工程 均方误差 均方比例误差 上证50ETF期权 分数布朗运动 |
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| Empirical Research of the SSE 50 ETF Options Pricing in Fractional Brownian Motion |
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| Abstract:Reasonable options price is the premise of options trading. This paper makes an empirical research of the SSE 50ETF option pricing by using the classic Black-Scholes pricing model, Monte Carlo simulation option pricing method and the fractional Brownian motion pricing model based on the latest data of the SSE 50ETF option price. The analysis results show that the fractional Brownian motion pricing model can more accurately and effectively simulate the SSE 50ETF options price because of smaller mean square error and mean square proportional error. The research can provide guidance for investors’ options trading behavior. In addition, it is helpful to study other varieties of domestic options. |
| keywords:Financial Engineering Mean Square Error Mean Square Proportional Error SSE 50 ETF Options Fractional Brownian Motion |
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