Measure the market risk of the options on stock indices based on GJR-GARCH model and Monte Carlo simulation

DOI

10.2991/wrarm-17.2017.4How to use a DOI?

Keywords

Options on stock indices; B-S model; Mento Carlo simulation; Value at Risk

Abstract

This paper focused on the pricing models of the SSCI and SZCI options on stock indices and the volatility estimation of the GJR-GARCH models which its underlying assets portfolio obeys to. Combining with B-S pricing models and the mainstream approach for the market risk management -VaR,we study on the market risk of the options on stock indices using simulation and optimization. With the result of European put options on stock indices of SSCI and SZCI,95%VaR can be measured by the Monte Carlo sampling and Latin Hypercubs sampling techniques approximation and the analysis formula separately. The result shows that these two different perspectives of sampling techniques can be applied to China's launch of stock index option risk measurement.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Qiang Li
AU  - Shaoxian Xia
PY  - 2017/11
DA  - 2017/11
TI  - Measure the market risk of the options on stock indices based on GJR-GARCH model and Monte Carlo simulation
BT  - Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)
PB  - Atlantis Press
SP  - 18
EP  - 23
SN  - 1951-6851
UR  - https://doi.org/10.2991/wrarm-17.2017.4
DO  - 10.2991/wrarm-17.2017.4
ID  - Li2017/11
ER  -