{"title":"Monte Carlo simulation of SSE 50ETF with trend timing strategy based on BSM option pricing","authors":"Xiaoping Ren, Ziqiang Wang, Hongyu An","doi":"10.1145/3512676.3512688","DOIUrl":null,"url":null,"abstract":"This paper uses the SSE 50ETF trading data to establish a quantitative timing trading strategy. Based on the SSE 300ETF as the comparison base, the Monte-Carlo simulation and BSM model is used to price the SSE 50ETF call option at 3850 in June 2021 and simulate the volatility path of the 50ETF index.","PeriodicalId":281300,"journal":{"name":"Proceedings of the 2022 5th International Conference on Computers in Management and Business","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the 2022 5th International Conference on Computers in Management and Business","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1145/3512676.3512688","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This paper uses the SSE 50ETF trading data to establish a quantitative timing trading strategy. Based on the SSE 300ETF as the comparison base, the Monte-Carlo simulation and BSM model is used to price the SSE 50ETF call option at 3850 in June 2021 and simulate the volatility path of the 50ETF index.
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