Research On American Option Pricing Model Based On Sugar Futures Option

In the world,there are various kinds of futures that are listed or have been listed in some countries with rapid development.Basically,the futures trading is mature.However,in contrast there are fewer futures in our country,and the option trading is just starting,which is in the development and growth period and is not mature.There are also many aspects to be improved in our domestic options trading,for example,there are not many trading options,the development of over-the-counter and on-the-spot trading is uneven,and the matching performance of futures and options products is poor.However,options have the advantages that futures can't replace,such as using them in agricultural products to reduce or even avoid the losses caused by price fluctuations.This paper mainly studies the sugar option,which is an American type futures option contract,traded in the option market of Zhengzhou Commodity Exchange.The trading mode of sugar option is American style,and the buyer of spot right can choose to exercise the right at any time before the maturity date(including that day).Therefore,compared with the European options that can only be exercised on the maturity date,American options are relatively large and more flexible,and there are more options to buy a house.At the same time,the seller bears the risk agreed by land bank at any time.Therefore,American option prices are relatively high,and further,it is more difficult to price American options.The most difficult point is how to get the best stop time of trading options,that is,how to find the best exercise time.The data used in this paper is mainly from Zhengshang Institute.We will make an empirical study on all futures call option contracts with sr005 as the subject.This paper mainly uses three pricing methods:trigeminal tree,bjerksund stendsland(2002)approximation algorithm and minimum Monte Carlo simulation,and uses the price data of the main futures contracts of sugar collected by Zheng Shang to price them,then compares the difference between the theoretical price determined by the three pricing methods and the actual transaction price.In this paper,we first price the white sugar option sr005p5600,and solve the price under the three methods of Trident tree model,bjerksund stendsland(2002)approximation algorithm and least square Monte Carlo simulation.The result shows that the price difference determined by least square Monte Carlo simulation is the smallest,but generally speaking,the price difference is still large,so we further improve the method Options are priced by Monte Carlo method based on mean regression process,and the result shows that the price difference decreases.Then we use the above methods to price all the call options with sr005 as the subject,and select different exercise prices and different maturity time,respectively observe and compare the price differences of several methods.The results show that the Monte Carlo simulation method based on the mean regression process has the smallest price difference,so this method is effective for the pricing of the option of white sugar futures.