Research On The Pricing Of SSE 50ETF Options Based On Monte Carlo Method

After a long wait and a one-year test run,the SSE 50 ETF option was finally born in early 2015,marking the beginning of the first on-the-spot option trading in China,which has the advantage that other financial instruments do not have – leverage Sex,short and safe have just met the needs of the majority of market investors.The key issue of China’s financial and academic circles is how to use a more reasonable method to price SSE 50 ETF options.In the previous methods of option pricing research,numerical methods and partial differential analysis methods are commonly used,but both of them have relatively large difficulties.Due to the unique advantages of Monte Carlo method,this paper chooses this method to price for SSE 50 ETF options.In the empirical test section,four options are selected,and 484 sets of data are used for research and analysis.By simulating the underlying asset price path and the corresponding option maturity income,the income is discounted according to the risk-free interest rate,and the discounted income is obtained.The arithmetic mean is the theoretical price of the option,which is programmed by MATLAB.Then the actual price is compared with the theoretical price,and the two are subjected to regression analysis.The empirical evidence shows that the Monte Carlo method can reasonably price the SSE 50 ETF option,and the pricing effect of the call option is better than the put price.Finally,the Monte Carlo method is applied to the actual application of SSE50 ETF option pricing in arbitrage.The actual transaction data reveals how it is used in three different arbitrage strategies and achieves profitability.