Abstract
Fischer Black, Myron Scholes and Robert Merton established the B-S Option Pricing Model to provide a theoretical basis for the pricing of stock index options. This paper constructed a CSI 300 index option contract, made an estimation of five influential factors including volatility, and risk free interest rate, and then conducted a pricing study by using the Black-Scholes Option Pricing Model, based on which we analyzed the introduction of stock index options in Chinese securities market. The results showed that it is applicable for China to introduce stock index options.
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