Monte Carlo Simulation of SSE 50ETF with Trend Timing Strategy based on BSM Option Pricing

Xiaoping Ren, Ziqiang Wang and Hongyu An

Abstract:

This paper uses the SSE 50ETF trading data to establish a quantitative timing trading strategy. Based on the SSE 300ETF as the coThis 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-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.mparison base, the Monte-Carlo simulation-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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