中国股票市场的统计特性和期权定价

应用动力模型理论,研究和分析了实际数据（SSE和SZSE综合指数日收盘价）和模拟数据（动力模型）的收益率统计特性.发现我国股票市场的波动性与动力模型基本保持一致;还发现动力模型比正态分布能够更好的描述真实市场的对数收益率分布;在对数收益服从动力模型的基础上,应用随机理论,构造了股票价格过程;最后,通过引入风险中立概率（Risk Neutral Probability）,导出了欧式买入期权的定价公式.

Statistical Analysis and Option Pricing of Chinese Stock Market

We firstly analyze the statistical properties of the returns of the actual data （from the daily close price for Shanghai Stock Exchange （SSE） Composite Index,and Shenzhen Stock Exchange （SZSE） Composite Index）,and the simulative data （from the dynamic model）.We find that the assumption of the dynamic model is well-consistent with the fluctuations of real markets.And,we also find that the dynamic model is better to describe the logarithmic returns distribution of the daily close price than the normal distribution.Following that,we use the stochastic systems to make a stock price process model on condition that the logarithmic return follows the dynamic model.Consequently,we deduce the valuation and hedging of European contingent claims for this price process model with a risk neutral probability.