Research Article
The Comparison of Asian Options and Other Options Based on Black-Scholes Model and Monte Carlo Simulation
@INPROCEEDINGS{10.4108/eai.28-10-2022.2328407, author={Ziyao Zeng and Lingyuan Zhao and Hanxiao Zhou}, title={The Comparison of Asian Options and Other Options Based on Black-Scholes Model and Monte Carlo Simulation}, proceedings={Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China}, publisher={EAI}, proceedings_a={FFIT}, year={2023}, month={4}, keywords={asian option; garch model; black-scholes; monte-carlo; binomial tree}, doi={10.4108/eai.28-10-2022.2328407} }- Ziyao Zeng
Lingyuan Zhao
Hanxiao Zhou
Year: 2023
The Comparison of Asian Options and Other Options Based on Black-Scholes Model and Monte Carlo Simulation
FFIT
EAI
DOI: 10.4108/eai.28-10-2022.2328407
Abstract
Price of the premium serves as the most important role in options trading, which can sometimes deviate from the fair price. Therefore, both general investors and market makers need a tool that can help them judge the pricing, i.e., the pricing model. Option pricing can avoid blind investment transactions and help investors clarify the direction of their investments. In this paper, we collected S&P 500 daily prices from Yahoo finance, starting on 1 March 2021, and ending on 1 March 2022, and investigate the option pricing for Asian options and other options based on Black-Scholes model and Binomial tree. According to the analysis, there is still a gap between the theoretical simulated price and the actual real price due to the risk-neutral assumptions of the model. These results shed light on the possibility of filling in the gaps with other models, e.g., neural network models to improve the accuracy of options trading strategies in the future.