中文在线免费视频,欧美亚洲桃花综合,日本中文字幕在线视频站,欧美精品一区二区三区观

CCER討論稿：Which Model for Option Valuation in China? Empirical Evidence from SSE 50 ETF Options

發(fā)布日期：2018-09-05 11:04    來(lái)源：北京大學(xué)國家發(fā)展研究院

E2018018                                                       2018-09-05
Zhuo Huang    Chen Tong    Tianyi Wang 


ABSTRACT：

China launched its first exchange-traded option in early 2015 to meet the increasing demand for financial derivatives. In this paper, we provide an intensive empirical investigation among popular discrete time option pricing models in terms of their pricing performance when applied to SSE 50 ETF options. We find newly developed pricing models with realized measures significantly outperform the conventional GARCH-type models based on daily returns. In particular, our empirical results suggest that the leverage effect is very weak in the Chinese option market. 
 

Keywords: Discrete time models; realized measures; option pricing; Chinese market  
JEL Classification: C10; C22; C80  

討論稿下載： E2018018