Design And Pricing Of A New Crude Pre-sale Contact

Crude oil market is the most important part of commodity markets,crude oil production is also one of the most active commodity in the world,and how to price the oil contract has been puzzled us.Meanwhile,the trial of blockchain technology in the crude oil industry has begun.From the perspective of crude oil pre-sale pricing,this paper studies the design and pricing of a new crude oil pre-sale contract and other practical problems.This paper based on the blockchain platform design opens to booking a contract of crude oil,by adding two option and adjust the option strike price without any increase in contract cost under the premise of achieve the goal of reduce the risk of both sides.At the same time,two different crude oil price models,Vasicek model(short term)and Poisson jump diffusion model(long term),were proposed for the long and short periods.In both models,we can use the Monte Carlo method to predict the forward price of crude oil and determine the pre-sale price of the contract and the execution price of the relevant options.In actual case,this paper used the sample data sample for ICE Brent crude oil futures exchanges settlement price,sample time in the range of January 2015 to December 2017.Our test results show that the upper and lower price are discussed in this paper well within the price range of expectation,two prices does not exist extremes,which to a certain extent,achieved for crude oil price fluctuation risk aversion,and to avoid the purchase options of multifarious formalities and expense.