The pricing of China stock index options based on monetary policy uncertainty

Jing Niu, Chao Ma, Yunpeng Wang, Chun-Ping Chang and Haijie Wang

Journal of Asian Economics, 2022, vol. 81, issue C

Abstract: In the field of option pricing, scholars have been exploring the constant settings of volatility and interest rate ever since the Black-Scholes model was put forward. This research introduces a floating interest rate into the local volatility model, analyzes the model’s pricing effects, and compares them from the aspects of an in-sample pricing error and out-of-sample pricing error respectively using data of CSI (China Securities Index) SH-SZ (Shanghai-Shenzhen) 300 stock index options. The empirical results show that the Surface Stochastic Volatility Inspire model is better than the Stochastic Volatility Inspire model.

Keywords: Stock index option; Monetary policy; Pricing (search for similar items in EconPapers)
JEL-codes: C4 G1 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1049007822000616
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:81:y:2022:i:c:s1049007822000616

DOI: 10.1016/j.asieco.2022.101504

Access Statistics for this article

Journal of Asian Economics is currently edited by C. Wiemer

More articles in Journal of Asian Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().