本文選題：滬深300指數(shù)　切入點：股指期權(quán)　出處：《新疆財經(jīng)大學(xué)》2013年碩士論文

【摘要】：隨著經(jīng)濟(jì)全球化步伐逐步加快，金融資本的國際間流動速度大大提高，使得全球證券市場的系統(tǒng)性風(fēng)險逐漸增大。因此，金融市場的參與者對市場風(fēng)險管理工具的需求愈發(fā)強(qiáng)烈。金融衍生品天然具有將風(fēng)險從金融原生品中分離出來進(jìn)行風(fēng)險管理的作用。期權(quán)就是眾多金融衍生品中最重要的一種，期權(quán)類產(chǎn)品已經(jīng)成為國際金融市場常用的投資和避險工具。其中，股指期權(quán)在品種、交易量、交易金額等方面都高居期權(quán)類產(chǎn)品首位，，它的產(chǎn)生極大地促進(jìn)了全球金融衍生品市場的發(fā)展及規(guī)范。國外主流市場經(jīng)驗表明，推出股指期貨后一年左右，相同標(biāo)的物的股指期權(quán)就會相繼推出。我國推出滬深300股指期貨已兩年有余，適時推出股指期權(quán)是我國金融衍生品市場發(fā)展的必然之舉。本文選取滬深300指數(shù)為標(biāo)的，探討滬深300股指期權(quán)合約的設(shè)計，并對股指期權(quán)的定價進(jìn)行了理論推導(dǎo)及實證研究。 本文的主體共分為四部分。第一部分對股指期權(quán)的概念進(jìn)行系統(tǒng)介紹，并對全球股指期權(quán)市場的現(xiàn)狀進(jìn)行了分析和總結(jié)。第二部分針對我國資本市場的現(xiàn)狀，探討了我國推出股指期權(quán)的必要性和可行性。第三部分研究我國股指期權(quán)合約——滬深300股指期權(quán)的設(shè)計問題。本文以滬深300指數(shù)為標(biāo)的，對股指期權(quán)合約設(shè)計的目的、原則及合約各要素進(jìn)行了討論，設(shè)計出滬深300股指期權(quán)和滬深300mini（小規(guī)模）股指期權(quán)的合約樣本。第四部分依照本文設(shè)計的合約，對股指期權(quán)的定價進(jìn)行理論探討及模擬定價研究。在理論層面，應(yīng)用隨機(jī)分析及鞅方法推導(dǎo)出股指期權(quán)定價公式。之后，采用歷史計算法和GARCH模型法對滬深300指數(shù)波動率進(jìn)行估計，并討論了無風(fēng)險利率、股指收益率、到期時間、執(zhí)行價格等定價要素，得出滬深300股指期權(quán)掛盤交易的模擬價格，并印證了股指期權(quán)合約乘數(shù)選擇的合理性。
[Abstract]:With the acceleration of the pace of economic globalization, the international flow of financial capital has been greatly increased, and the systemic risk of the global securities market has gradually increased. Financial derivatives have the function of separating risk from financial products for risk management. Option is one of the most important financial derivatives. Option products have become a common investment and hedge tool in the international financial market. Among them, stock index options rank first in terms of variety, trading volume, transaction amount, etc. Its emergence has greatly promoted the development and standardization of the global financial derivatives market. Experience in mainstream foreign markets shows that about a year after the introduction of stock index futures, The stock index options of the same subject matter will be launched successively. It has been more than two years since China launched the stock index futures of CSI 300. It is an inevitable move for the development of the financial derivatives market to introduce stock index options in good time. This paper selects the CSI 300 index as the target. This paper discusses the design of Shanghai and Shenzhen 300 stock index option contract, and makes theoretical derivation and empirical research on the pricing of stock index option. The main body of this paper is divided into four parts. The first part systematically introduces the concept of stock index option, and analyzes and summarizes the current situation of the global stock index option market. This paper discusses the necessity and feasibility of the stock index option in China. The third part studies the design of the stock index option contract-Shanghai and Shenzhen 300 stock index option in China. The purpose of this paper is to design the stock index option contract with the Shanghai and Shenzhen 300 index as the target. The principles and elements of the contract are discussed, and the contract samples of the Shanghai and Shenzhen 300 stock index options and the Shanghai and Shenzhen 300 minii stock index options are designed. The fourth part is based on the contract designed in this paper. This paper discusses the pricing of stock index option theoretically and simulates pricing. At the theoretical level, the formula of stock index option pricing is derived by stochastic analysis and martingale method. Using historical calculation method and GARCH model method to estimate the volatility of Shanghai and Shenzhen 300 index, and discuss the pricing factors such as risk-free interest rate, stock index yield, maturity time, execution price, etc. It also verifies the rationality of the selection of stock index option contract multiplier.
【學(xué)位授予單位】：新疆財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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