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Updated: Jul 9, 2025

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上海证券交易所50个ETF期权的定价基于不同的波动性模型

Qingchun Wu1, Xiaoping Kuang1, Binhong Wu2

  • 1Tan Siu Lin Business School, Quanzhou Normal University, Quanzhou, China.

PloS one
|December 7, 2023
PubMed
概括

上海证券交易所 (SSE) 50 ETF 期权在全球范围内非常活跃. 像BSM这样的定价模型低估了SSE 50ETF期权,特别是超现金合约,这表明需要改进的估值方法.

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