基于GJR-GARCH模型的沪深300指数期权定价研究

The Pricing of CSI 300 ETF Options with GJR-GARCH Model

摘要: 本研究旨在深入了解中国股票指数期权市场的运行状况，基于GJR-GARCH模型，以沪深300指数期权为研究对象，探讨其定价特征及对市场波动的敏感性。通过对2022年3月至2023年12月的期权价格数据的实证分析，研究期权价格数据的统计特征发现其尖峰厚尾的非正态特征恰好说明沪深300期权市场波动的复杂性和异方差性；并利用GJR-GARCH模型探究沪深300指数期权波动率，进一步验证了该模型对市场波动特征的良好解释能力，为中国期权市场定价提供新的波动率测算指标。文章期望能够为未来的金融市场发展提供有益的见解，并为相关决策者提供科学的政策建议，推动中国股指期权市场的健康发展。

Abstract: Utilizing the GJR-GARCH model, this research focuses on CSI 300 index options to investigate their pricing dynamics and responsiveness to market shifts. Analyzing option price data from March 2022 to December 2023, the study delves into the statistical features of these prices. The observed non-normal traits, such as peakedness and thick tails, distinctly signal the intricate and heteroscedastic nature of volatility in the CSI 300 option market. Employing a GJR-GARCH model, the research delves into the volatility of CSI 300 index options, affirming the model’s effectiveness in explaining market volatility characteristics. The study introduces a novel volatility metric, offering valuable insight for China’s option market pricing. Anticipated outcomes include significant contributions to financial market development and informed policy recommendations for decision-makers, fostering the robust growth of China’s stock index options market.