上证50ETF期权风险的研究

北京理工大学珠海学院2020届本科生毕业论文Study on option risk of Shanghai 50ETFAbstractOptions trading originated in Europe and the United States in the 18th century,and has developed into a perfect trading system and risk management mechanism,butthe intention of options has gradually changed with the passage of time.The originalmeaning of option is a financial instrument used for investors to avoid risks,but theoption also has the characteristics of low transaction cost and high leverage,etc.Sinceits emergence,it has been used by many investors in the world to make profits fromspeculative operations,which adds huge risks to option trading.The options era inChina began with the listing of Shanghai 50ETF options.The development time isshorter than that in foreign countries,and the risk measurement mechanism isrelatively weak.Therefore,the risk measurement and management of the optionsmarket is particularly important.Based on the VaR measurement tool of GARCH model,this paper takes thetrading data of Shanghai 50ETF options and the underlying asset Shanghai 50ETF asthe research object,and analyzes the risk of Shanghai 50ETF options through theeconometric model It is concluded that the Shanghai 50ETF option risk is greatlyaffected by VaR fluctuations and also by the price fluctuations of the underlying asset.Investors can not only analyze the Shanghai 50ETF option VaR to avoid risks,butalso determine their investment strategies according to the price and VaR of theunderlying asset Shanghai 50ETF to avoid risks.Key words:GARCH model;VaR measurement method;Shanghai 50ETF options;The option risk