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Cluster Computing

Erschienen in:

12.03.2018

Hybrid intelligent algorithm based option pricing method

verfasst von: Zhiying Chen, Dinghua Xu, Zhongyi Xiao

Erschienen in: Cluster Computing | Sonderheft 2/2019

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Abstract

This study investigates the relative rate of price discovery in Chinese Shanghai Stock Exchange (SSE) 50 spot index and SSE 50 ETF options, proposing a put–call parity (PCP) approach to recover the spot prices embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviating the burden of volatility estimation. Empirical results reveal that the contribution of SSE 50 ETF options to price discovery exceeds the contributions of SSE 50 index and SSE 50 ETF. However, ETF contributes larger price discovery than ETF options in the high volatility which is opposite from the leverage hypothesis.

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Titel: Hybrid intelligent algorithm based option pricing method
verfasst von: Zhiying Chen
Dinghua Xu
Zhongyi Xiao
Publikationsdatum: 12.03.2018
Verlag: Springer US
Erschienen in: Cluster Computing / Ausgabe Sonderheft 2/2019
Print ISSN: 1386-7857
Elektronische ISSN: 1573-7543
DOI: https://doi.org/10.1007/s10586-018-2383-9

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