Proceedings of the 2025 3rd International Academic Conference on Management Innovation and Economic Development (MIED 2025)

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Research on Pricing of SSE STAR 50ETF Options Based Monte Carlo Simulation

Authors
Qihuan Huang1, *
1School of Economics, Lanzhou University, Lanzhou, 730106, China
*Corresponding author. Email: 320220922940@lzu.edu.cn
Corresponding Author
Qihuan Huang
Available Online 17 September 2025.
DOI
10.2991/978-94-6463-835-6_46How to use a DOI?
Keywords
SSE STAR 50ETF option pricing; Monte Carlo simulation; GARCH; HESTON; Black-Scholes (BS)
Abstract

The SSE STAR 50ETF options, as pivotal financial derivatives in China’s capital market, are critical for investors and regulators. Traditional pricing models (e.g., Black-Scholes) assume market efficiency and log-normal asset returns, often failing to capture the high volatility and risks of the STAR market. This study proposes an enhanced pricing framework using Monte Carlo simulation to address these gaps. This paper analyze the market traits of SSE STAR 50ETF options and highlight the limitations of conventional models. To better reflect the underlying asset’s volatility, we integrate stochastic volatility (HESTON) and jump-diffusion models. Our experimental design compares Monte Carlo-simulated Black-Scholes (BS), HESTON, and GARCH models (treatment group) against standard BS, HESTON, and GARCH models (control group). By simulating STAR 50ETF price paths under no-arbitrage principles, we derive option prices and validate them empirically. Results show that Monte Carlo-based models outperform the control group in fitting market prices, offering investors more accurate pricing and risk management tools. This research contributes to the understanding of derivatives pricing in emerging high-volatility markets.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2025 3rd International Academic Conference on Management Innovation and Economic Development (MIED 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
17 September 2025
ISBN
978-94-6463-835-6
ISSN
2352-5428
DOI
10.2991/978-94-6463-835-6_46How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Qihuan Huang
PY  - 2025
DA  - 2025/09/17
TI  - Research on Pricing of SSE STAR 50ETF Options Based Monte Carlo Simulation
BT  - Proceedings of the 2025 3rd International Academic Conference on Management Innovation and Economic Development (MIED 2025)
PB  - Atlantis Press
SP  - 435
EP  - 448
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-835-6_46
DO  - 10.2991/978-94-6463-835-6_46
ID  - Huang2025
ER  -