The simulation of CSI 300 Index Option Pricing Based on Black-Scholes Model

The paper goes on a simulation pricing study for Chinese CSI 300 Index based on the Black-Scholes option pricing model, according to pricing model we get that the price of a three-month CSI 300 Index call option, whose strike price is 4006.44, is approximately 33.46 at November 30, 2017, and the price of put option is zero. And the simulation results show that given historical data, an option price could reflect the future price trend of underlying asset in some degree, and CIS 300 Index have quite large probability of going up.