Research On Copper Option Pricing Analysis

Copper futures options,which were officially listed on the Shanghai stock exchange on September 21,2018,are an effective tool for investors to carry out risk management.The listing of copper option is an effective measure taken by the futures market in the service of entity enterprises and the avoidance of price risks,and also an inevitable demand for the development of China's metal industry.The listing of copper option is of great practical significance to the risk management of the market service industry and the improvement of the pricing influence of China's metal industry.Based on the actual data of copper option trading,this paper establishes black-scholes model,Merton jump-diffusion model and double-index jump-diffusion model respectively,and calculates the corresponding theoretical price of call option by using the model.By comparing and analyzing the pricing conditions of these three models and the actual option prices,the corresponding results are obtained,which can provide available reference information for the option market and investors' trading strategies.The main work of this paper includes:Firstly,the sample interval to be calculated is selected,and the return rate sequence of the underlying asset is used to estimate the parameters of the jump-diffusion model.The parameter estimation adopts the idea of outlier test,and the jump point is separately calculated as the outlier,and the average return rate is used to replace the excluded jump point.Monte carlo simulation was carried out on the calculated jump parameters,and the results of the parameters were calculated to obtain the return rate of monte carlo simulation,and the resultwere compared with the actual return rate.The experimental results show that the fitting effect between the simulated rate of return and the actual rate of return is ideal,indicating that the parameter estimation method is effective and feasible.Secondly,the parameters and variables calculated by the parameter estimation method were substituted into black-scholes model,Merton jump-diffusion model and double-exponential jump-diffusion model,respectively,to obtain the theoretical option price and the actual option price for comparison.The experimental results show that the double-index jump-diffusion model is more suitable for the pricing analysis of copper options than the black-scholes model and the Merton jump-diffusion model,and the effect of the Merton jump-diffusion model is better than the black-scholes model.Finally,the simulation analysis and test of the model results are carried out,and the corresponding results are obtained.According to the statistics and relative errors,the estimated results are relatively accurate,which can be a good reference for investors.