Research Of Pricing At SSE 50 ETF Option

In nearly a decade, options trading is booming. Not only the general market participants,speculators, hedge and arbitrageurs have entered the options market,but also the number of traders who willing to take risks in these markets is increasing at an alarming rate. Due to the nature of the options, however, the complexity of the market, as well as a variety of unpredictable risks, it all seems to go against inexperienced fledglings. At the same time,with the constant improvement of China’s financial market, and demand for financial risk control, the option in the Chinese market has been further development. In early 2015, The SSE 50 ETF options belong to the first transaction option in the market. Its leveraged,shorting and safety features meet the investment demand of many investors. How to establish reasonable option pricing model,and set price for the SSE 50 ETF option have become a problem,which financial institutions and regulatory departments pay close attention to. In the relevant studies of multi-asset options pricing method,The general numerical method and partial differential analysis method are considerable difficulties.This article first introduced the Brownian motion which describes the change of stock price.On the basis of this,we derive the multidimensional stochastic partial differential equations.Then,we deduce more assets pricing model of European option,and presents a concrete applicable to the SSE 50 ETF option pricing of monte carlo simulation algorithm.Finally, the option of the price is given by the empirical theory of Shanghai 50 ETF. In the model, we also analyze several key parameters which will have a significant impact on the simulation.