Study On Option Pricing Of Farm Produce In Chinese Market

Option pricing theory, the important part of modern finance. Together with the portfolio selection theory, the capital asset pricing theory, the effectiveness theory of market and acting issue, it is regarded as one of the five theory modules in modern finance. It involves the modern asset pricing and portfolio investment of the modern financial theory, and includes modern mathematical theory, such as stochastic analysis, stochastic control, optimization theory, mathematical statistics and so on. The study of this field not only enriches and develops modern finance but also promotes many branches of mathematical field. The theory of pricing and hedging of contingent claims has a direct influence on the innovating of financial tool and the effective performance of financial market. It also has wide applications to the investment strategy of the company, the evaluation of the research object and the risk management in the financial institution.Research in option pricing, we choice another method. Contrapose a given market, finding the price process model and rule of fluctuate which suit this given market, then research under this price process model. So this option pricing model is suit to the market, it truly reflect the value of droit. This text have two parts, one is analysis of price process and change character of fluctuate, the other is research in option pricing under the result of the first part.The main contents and results are listed in the following.In the first part, the basic analysis of earnings yield of closing price, include non-normal distribution, autocorrelation analysis of earnings yield of closing price, volatility clustering; Research in ARCH model, finding character and rule of fluctuate, first of all, checkout beforehand of ARCH model, include ADF test and ARCH-LM test, then research in GARCH,GARCH-M,TARCH,EGARCH,component ARCH and T-component ARCH model.UsingΓdistribution, t distribution, F distribution to fitting density function of closing price, finding the best distribution. Under the result of fitting and analysis of earnings yield, give a pricing process model which suit DCE. Then we can gain: the price process of DCE is a jump-diffusion process, the part of jump is expressed by renewal process which time distance distribution of jump is aΓdistribution.In the second part, first, study on the character of jump-diffusion process analysis, mostly, the character of renewal process which time distance distribution of jump is aΓdistribution. Then, Using insurance actuary pricing, research in option pricing that price submitting to jump-diffusion process. Finally under the assumptions that stocks price process driven by renewal jump-diffusion process, and the expected rate, volatility and risk-less rate are function of time, we obtain the accurate pricing formula and put-call parity Of European Option．...