基于蒙特卡罗方法的上证50ETF期权定价

一般来说，学术界大都使用数值法和偏微分解法进行期权定价，因为他们更加精确，但同时也更具复杂性。相对来说，蒙特卡罗法的优势就凸显出来，因为它能够对原本复杂的定价程序进行简单化，降低了实现难度。因此，本文在对上证50ETF期权进行定价时，将使用可行性更高的蒙特卡罗法。在样本方面，则将四种期权纳入样本范围，共468组数据。利用MATLAB编程，模拟上证50ETF期权的价格走势和到期收益率变化，假设利率为无风险收益率的情况下，对到期收益进行折现，对经过贴现得到的数值进行算数平均数计算，已得到理论情况下的期权定价。将计算得出的理论价格与期权实际价格进行比较，得到结论：蒙特卡罗方法的数值波动不大，具有可行性，除此之外，看涨期权的定价效果要优于看跌期权。
关键词：上证50ETF；蒙特卡罗方法；期权定价
Research on the Pricing of SSE 50ETF Options Based on Monte Carlo Method
ABSTRACT
In general, the academic circles mostly use numerical methods and partial differential solutions for option pricing, because they are more accurate, but also more complex. Relatively speaking, the advantage of Monte Carlo method is highlighted, because it can simplify the originally complex pricing process and reduce the difficulty of implementation. Therefore, this paper will use the more feasible Monte Carlo method when pricing SSE 50ETF options. In terms of samples, four options are included in the sample range, with a total of 468 sets of data. Matlab programming is used to simulate the price trend and the change of yield to maturity of SSE 50ETF options. Assuming that the interest rate is risk-free yield, the yield to maturity is discounted, and the calculated average value of the discounted value is calculated, so as to obtain the option pricing under the theoretical condition. Will be calculated price comparing with actual price options theory, come to a conclusion: the value of monte carlo method, the feasible, in addition to this, call option pricing effect is superior to put option.
Keywords: SSE 50ETF; Monte Carlo method; Option pricing

 
目  录
一、绪论 1
（一）研究背景及意义 1
1．研究背景 1
2．研究意义 1
（二）研究内容与方法 2
1．研究内容 2
2．研究方法 2
（三）研究的创新与不足 3
二、期权定价概述 4
（一）期权的定义及分类 4
（二）几种常用的期权定价工具 5
1．Black-Scholes模型 5
2．二叉树期权定价模型 5
3．蒙特卡罗模拟方法 5
三、选择蒙特卡罗方法为上证50ETF期权进行定价的原因分析 6
四、上证50ETF期权定价的实证检验 6
（一）期权定价的基本因素的选取 6
（二）期权定价的计算 8
五、结论与建议 11
看涨期权模拟定价MATLAB实现过程 12
看跌期权模拟定价MATLAB实现过程 13

*若需了解更多与协助请咨询↓→[电脑QQ][手机QQ]【数据协助】