Anylysis Of Options Pricing And Dynmic Hedging

Our country is experiencing the golden period of the rapid development of the options market,and the role of options in the market economy is becoming increasingly important.For a long time,soybean meal futures have been paid much attention to,and the volume of trading has always been ranked first in the world's agricultural futures market for many years.Soybean meal option coming into the market in the 2017 year means that China has entered a new era,which is also the result of steady development of commodity futures market over the past 20 years.However,the price of soybean meal is easily affected by the fluctuation of the price of international agricultural products,therefore the risk of soybean meal production is increasing gradually.The original hedging model has been difficult to meet the demand of the market,and the demand for the risk management tool of the soybean meal option is more urgent.Therefore,the introduction of soybean meal option maybe can solve these problems.In the 2017 year,the Central Committee put forward the pilot plan to promote the construction of agricultural products option market,and the demand for soybean meal option should be increased.But the problem is that the market system is not perfect enough,and still exists great risks.So those derivatives such as soybean meal options are coming into being.In a word,with the development of the futures market and the gradual emergence of market risk,more and more enterprises are gradually strengthening the hedging consciousness and constantly call for new financial instruments,so the soybean meal option has been officially appeared in the market.Soybean meal option is an American option,which can be executed at any time in the validity period.There is no closed analytic formula,and it cannot be priced with the Black-Scholes formula.In this paper,two numerical methods of the Binary Tree model and Monte Carlo simulation are used to pricing them,and it is easily found that the pricing of the Binary Tree model is closer to the real price than the Monte Carlo simulation method.Secondly,this paper also analyzes and compares with these two different hedging strategies of fixed time point and fixed interval,and it is more reasonable to judge the effect of dynamic hedging in fixed intervalAccording to the stability of Delta value and the income of hedging strategy.Thirdly,the historical simulation method is used to calculate the VaR value to test the effect of dynamic hedging.The results show that the VaR value after dynamic hedging is relatively small,which shows that the dynamic hedging strategy can reduce the risk of the option.Finally,the MATLAB software is used to make an empirical analysis and draws a conclusion that a long option can choose a wider tolerance interval to reduce the cost of hedging and increase the profit opportunity,while the short option must choose a narrower tolerance interval to reduce the exposed position risk and gain relatively stable profit.