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Design of CSI 300 stock index options contracts

Author: CuiHongWei
Tutor: YinYuMing
School: University of Electronic Science and Technology
Course: Business Administration
Keywords: Financial derivatives CSI 300 Stock index options Contract design
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 278
Quote: 1
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Abstract


Economic globalization, rapid financial market development, especially in the financial derivatives market. China gradually improve the securities market is only just 20-years-old, the financial derivatives market is still in its infancy. Currently, popular as an international financial market, financial investments and hedging instruments: options, stock index options, interest rate options, foreign exchange options and other financial derivatives play an increasingly important role. Financial derivatives contract design, pricing, innovation, and other issues also become topics at the forefront of academic research. In the process of institutional reform in China's financial markets, financial innovation is bound to have far reaching implications for the development of our national economy. Therefore, it is necessary to study and explore them. This paper focuses on the design of contracts for stock index options for the development of China's financial markets. More precisely, research and discussion, that the design of the Shanghai and Shenzhen 300 stock index options contracts to explore the design of our upcoming CSI 300 stock index futures underlying index - CSI 300 Index as the underlying index stock index options contracts . The main content of this article is divided into two levels: the first level is the CSI 300 stock index options contracts designed to explore; second level is the CSI 300 stock index options contracts simple example analysis BS formula draw royalties a reference value. First expounded in the introduction of the research background, significance, research content and structural arrangements, and at the same time define the concept of stock index options, the research methods and innovation; Chapter II introduces and analyzes the world today an overview of the financial derivatives market, compare and draw conclusions of mature foreign markets stock index options, and thus find the entry point of this study, and the ideas and views of the development of China stock index options, as well as the necessity of China's development index options; Chapter CSI 300 stock index CSI 300 stock index options contract design. This chapter first introduces the CSI 300 stock index leads to the development prospects of China's stock index options, and then by the overseas mature market introduction of stock index options contracts and Prospects Finally, by comparing the analysis, design, development suited to China's CSI 300 stock index options contracts; fourth Chapter CSI 300 stock index options contracts for example royalties derived specific reference value. First introduced on the Black-Scholes model, with its stock index option pricing example analysis and calculation of the reason parameter correction. And then to determine the price of the Shanghai and Shenzhen 300 underlying index, the calculation of the volatility, no determination of the risk-free rate, stock index options maturity determined, determined to carry out a detailed exposition and description of the CSI 300 exercise price of the call option, and calculate CSI 300 stock index options on the first day of opening reference price; fifth chapter summarizes the basic conclusions of this paper, and pointed out that the lack of this study and future research directions.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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