Pricing 50ETF in the Way of American Options Based on Least Squares Monte Carlo Simulation

Shuai Gao and Jun Zhao

Applied Finance and Accounting, 2016, vol. 2, issue 2, 71-76

Abstract: 50ETF appears on the Chinese stock market on 9th February,2015, the contracts are European Options and the options are priced by B-S model.50ETF is the only one option that can be traded, there are no American Options in Chinese stock market. This paper studies 50ETF pricing analysis in accordance with the way of American Option. We use Least Squares Monte Carlo Simulation to price 50ETF and analyze them, give the numerical results by matlab program. This issue is worth studying, because the paper studies 50ETF, and price it in the way of American Options, we try to employ Monte Carlo Simulation to solve this problem in china and the results of the paper can enrich the option products in the stock market of China.

Keywords: 50etf; American option; least squares monte carlo simulation (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://redfame.com/journal/index.php/afa/article/view/1657/1708 (application/pdf)
http://redfame.com/journal/index.php/afa/article/view/1657 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfa:afajnl:v:2:y:2016:i:2:p:71-76

Access Statistics for this article

More articles in Applied Finance and Accounting from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().