Abstract
At present, the expansion of China's domestic options market brings positive factors and risks, and in order to avoid risks, it is crucial to choose a suitable model for option pricing. This article provides an example of an option for the underlying asset of the SSE 50 ETF. Using the BSM model and the Monte Carlo model for the selected option pricing, and comparing the actual option price. It is found that the pricing efficiency of the Monte Carlo model is higher than that of the BSM model when the number of simulations reaches 30,000 times in the call option, and there is little difference between the two in the put option pricing. It is recommended to prefer the Monte Carlo model when pricing call options and the more convenient BSM model when pricing put options.
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