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上证50ETF期权的问世开启了中国股票期权的时代,中国股票期权市场发展潜力巨大,未来的几年将会迅速发展壮大,投资者可以通过购买股票期权进行风险规避或投机获利。本文采用GARCH模型进行参数估计,将股票价格的波动率用该模型预测的波动率代替,以此预测股票价格上升或是下降的概率。并运用二叉树模型对中国平安股票的美式看涨期权和看跌期权进行定价。最后,从扩大股票期权模拟交易规模、提升股票期权参与者的认知水平、提供完备的监管机制和应急方案三个层面提出了中国股票期权市场顺利起步和发展之对策。
The advent of the SSE 50ETF option has opened up the era of Chinese stock options. China’s stock option market has great potential for growth and will rapidly grow in the coming years. Investors can evade or speculate on the risks through the purchase of stock options. In this paper, GARCH model is used to estimate the parameters, and the volatility of the stock price is replaced by the volatility predicted by the model to predict the probability of the stock price going up or down. And uses the binary tree model to price the American call options and the put options of Ping An Securities. Finally, from the three aspects of expanding the scale of stock options simulation transaction, raising the level of cognition of participants in stock options and providing a complete supervision mechanism and emergency plan, the countermeasures for the successful start and development of China’s stock option market are put forward.