The Apply Of Option Pric Ing Theory In Option Arbitrage Strategy On The Shanghai 50 ETF Option

Quantitative investment in C hina is now in an ascendant situation.In the quantitative investment,the use of derivatives in different ways for strategic research is an extremely important part.In addition,in September 2015,share price ndiex futures were limited;the quantitative investment was in a great obstacle.In this paper,we hope to study the option of Shanghai 50 ETF.And develop the investment strategy which can be used in practice.This research can promote the development of the derivatives market and the quantitative investment field.In this paper,two models are used to price the options.One is the B-S-M model and the other is the Monte Carlo method.The theoretical part of the two models will be elaborated in this paper.In the article,I completed the description of the concept,theoretical derivation and programming.After the theoretical study,I detail the analysis of all aspects of the Shanghai 50 ETF option's features,especially for the transaction details.And describes the various aspects of the options strategy for the latter studyThe core part of this paper mainly completes two works.The first one uses B-S-M formula and Monte Carlo method to price the option of Shanghai 50 ETF.And compare it with the actual price.By pricing I found that the use of B-S-M formula's result and Monte Carlo method's result is close to each other.There is no significant difference.But through the pricing results,there is a certain difference with the market price which is not large.That proves the existence of spreads.The second core part is based on the pricing result of the options of Shanghai 50 ETF.I conducted a simulation of five contracts with different exercise prices for the October and November 2016.As a result of the approximation of the pricing results,the pricing results of B-S-M have been used only to simulate the strategy.In the simulation of the strategy,I completed the study of three strategies,including the forward conversion strategy,the box strategy and the rolling strategy.Moreover,apply it to the trading of options of Shanghai 50 ETF.In the end of the study,the forward conversion strategy achieved a monthly yield of 1.81%,the box strategy achieved a monthly yield of 0.43%,the rolling strategy to achieve a 0.775% monthly rate of return.These results can prove that our application of pricing and the strategies can make profit in the market.