Study on SSE 50ETF Option Pricing Under Inefficient Market——Based on Fractional Order Option Theory
Options are an important derivative tool in the financial market,and scientific and reasonable pricing of options is the basis for option trading.The traditional Black-Scholes model is based on the assumption of efficient markets,while real financial markets tend to be inefficient and memory-dependent on historical information.Based on the actual situation of China's options market,this paper incorporates the memory strength of options on historical information into the model,establishes a fractional order model under the inefficient market,takes the SSE 50ETF option as an example,studies and analyzes the value of the option,and judges the memory strength of the option market.
inefficient marketfractional order option modelSSE 50ETF optionsdata memorability
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