Index Option: Contract Design and Operation Model

Author: Yu Yanchao
Publisher:
Publish Date: 2007-01-01
Features: This book is one of the "Shenzhen Stock Exchange Financial Derivatives Series," and it systematically elaborates on topics such as contract design, trading system design, clearing system design, risk control system design, and the application of index options. As the organizer of the capital market and the frontline regulatory authority, the Shenzhen Stock Exchange (hereinafter referred to as SSE) has always paid close attention to the development of financial innovation products. In 2000, the SSE Comprehensive Research Institute conducted forward-looking research on index futures. Starting from 2004, SSE established the Index Futures Working Group (later renamed the Derivatives Working Group) and began working on the design of financial derivatives solutions. Over the following years, employees from SSE's relevant departments collaborated closely, drawing on the development experience of overseas markets while incorporating the characteristics of the domestic market. They completed the design of futures and options contracts and operational models based on indices, ETFs, and individual stocks, forming a relatively comprehensive series of equity-based financial derivatives solutions, and prepared the relevant technical systems. Now, we have compiled and published some of SSE's research findings on financial derivatives for the reference of industry peers and interested individuals. We also welcome feedback and corrections.