基于BSM期权定价的上证50指数etf趋势时机策略蒙特卡罗模拟

Proceedings of the 2022 5th International Conference on Computers in Management and Business Pub Date : 2022-01-21 DOI:10.1145/3512676.3512688

Xiaoping Ren, Ziqiang Wang, Hongyu An

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摘要

本文利用上证50ETF交易数据，建立定量择时交易策略。以上证300ETF为比较基准，采用蒙特卡洛模拟和BSM模型对上证50ETF看涨期权在2021年6月的3850点进行定价，模拟50ETF指数的波动路径。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Monte Carlo simulation of SSE 50ETF with trend timing strategy based on BSM option pricing

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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Proceedings of the 2022 5th International Conference on Computers in Management and Business

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