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The purpose of this paper is to study option pricing problems in the Chinese market based on the Black-Scholes Option Pricing Model, compare the theoretical prices and the actual price and analyze the reason of the difference. It calculated the BS theoretical price of Shanghai 50 ETF call options with different period to lay the foundation for adjusting the module. It selected 60 Shanghai 50 ETF options (forming 11675 sample data),to calculate the BS theoretical price. In the process of calculating the BS theoretical price, it utilized the Wind data and Equivalent substitution to reduce the workload reasonably. Then it use the least square method to analyze the degree of fitting of the BS model. According the result, we find that BS model can explain the actual price of Shanghai 50 ETF option in appropriately. Consequently, investor can estimate the option value on the basis of BS theoretical price in the Shanghai 50 ETF option market. Arrival of Option in China Modern options market formed in the 1970s, The oil crisis and shake of fixed exchange rate system triggered a global financial turmoil. In China, After the 1990s the convertible bonds, warrants, foreign exchange options and tools appeared. Then Zhengzhou Commodity Exchange, Shanghai Futures Exchange, and Dalian Commodity Exchange tried to adjust the system and technology. In 2011,the interbank market the yuan against the currency options occurred;3 years later, Sugar options occurred in Zhengzhou Commodity Exchange; and in 2015,Corn options (in Dalian Commodity Exchange ), gold option (in the Shanghai Gold Exchange) and the Shanghai ETF50 options (in Shanghai Stock Exchange), Shenzhen 100 ETF options (in Shenzhen Stock Exchange), China vanke (in Shenzhen Stock Exchange), Bishuiyuan options (in Shenzhen) and the gem ETF options ( in Shenzhen) was launched one after another. Main reason for launching options in our country is to win pricing power, reduce the risk of futures, spot investment opportunity and increase marketing activity. At present, China needs to improve the veriety of option, and cultivate more professional on option. Shanghai 50 ETF options appeared in 2015. Consequently, it’s necessary to study the price regularity of Shanghai 50 ETF options through empirical research.

The BS Theoretical Price Of Shanghai 50 ETF Options