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Cluster Computing

, Volume 22, Supplement 2, pp 4785–4791 | Cite as

Hybrid intelligent algorithm based option pricing method

  • Zhiying ChenEmail author
  • Dinghua Xu
  • Zhongyi Xiao
Article
  • 72 Downloads

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.

Keywords

SSE 50 index SSE 50 ETF option Price discovery Put–call parity 

Notes

Acknowledgements

This research was supported by the Ministry of Education of Humanities and Social Science Project of China (Grant No. 16YJC790010), Social Science Fund of Chongqing, China (Grant No. 2016PY71).

Compliance with ethical standards

Conflict of interests

The author declares that there is no conflict of interest regarding the publication of this paper.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of EconomicsSouthwest University of Political Science & LawChongqingChina

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