An Empirical Analysis Of Option Pricing Model Based On Monte Carlo-SVI

Option is a risk management tool with relatively abundant functions and relatively flexible investors in the financial derivatives market.Therefore,options are welcomed by many investors.In recent years,with the continuous development of the option market in the field,investors have more and more understanding of options.Since the various structural products of the option are constantly updated,this has greatly promoted the development and prosperity of the financial market.The 50 ETF option contract in China has been formally traded from February 9,2015,and since then it has opened the time prelude to China's derivatives options market.This paper analyzes the 50 ETF option that has just been introduced in China and uses the Monte Carlo simulation method to make the pricing.For the shortcomings of the Monte Carlo method,such as the large amount of computation,the low variance sequence method of variance reduction technology is applied to optimize the Monte Carlo simulation.The empirical results show that the optimized Monte Carlo pricing effect is better than the standard Monte Carlo simulation.At the same time,for the simulation of Monte Carlo pricing method in volatility is supposed to be constant,this paper introduces the local volatility model in SVI(Stochastic Volatility Inspired Model)model to fit the volatility surface,innovative linked model combined with SVI Monte Carlo simulation method,the pricing model in order to get a more practical,pricing the results are more accurate.This paper mainly selects all the data of call options which expired in December 2017.We choose the call price of 2.16 and 2.455 to analyze and compare the pricing results.The results show that the SVI volatility model can better fit the market volatility surface,and the SVI volatility model will be more accurate after joining the Monte Carlo pricing method.The research model of this paper can not only provide investors and financial regulators with more accurate option pricing methods,but also enrich our research on 50 ETF options in Shanghai stock market.