Monte Carlo simulation of SSE 50ETF with trend timing strategy based on BSM option pricing

Abstract

This 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 and 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.