Associate Professor Chuanhai Zhang, a researcher of the base, has published a collaborative paper titled "Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach" in Mathematics.

Abstract: Modeling stock returns and option pricing in the presence of jumps remains a central challenge in financial economics. This paper employs a novel score-driven GARCH-jump model to analyze SSE (Shanghai Stock Exchange) 50 ETF returns and option pricing. The main findings are as follows. First, we use 50 ETF spot returns to estimate conditional volatility and jump intensity, and find that the SDSDJ (score-driven separate dynamic jumps) model significantly outperforms conventional GARCH-jump models in model fitting. Second, we evaluate both in-sample and out-of-sample pricing performance using data from 50 ETF options, and find that the SDSDJ model achieves the lowest in-sample pricing error among all benchmarks, while its simplified variant—the SDJ (score-driven jumps) model—delivers the most accurate out-of-sample results. Third, the superior pricing performance of both models is robust across different levels of moneyness and DTM (days-to-maturity).

Keywords: SSE 50 ETF option; score-driven time series models; option pricing; jumps

Link: https://doi.org/10.3390/math13203332

Author profile

Chuanhai Zhang ,PhD, Associate Professor, School of Finance, Zhongnan University of Economics and Law. His research interests include financial markets, financial measurement and financial risk, as well as Fintech and big data. His research papers have been published in: Economic Research, Systems Engineering Theory and Practice, Journal of Management Engineering, Mathematical Statistics and Management, Journal of Econometrics, Quantitative Finance, Pacific-Basin Finance Journal, Finance Research Letters, International Review of Financial Analysis and Economic Modelling and other domestic and foreign journals.