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

发布日期:2018-09-05 11:04:47    来源:北京大学国家发展研究院

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  

讨论稿下载:E2018018