Measure the Market Risk of the Options on Stock Indices Based on GJR-GARCH Model and Monte Carlo Simulation

摘要

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.