Research On The Pricing Of Soybean Meal Options Based On The Generalized Hyperbolic Lévy-GARCH Family Model

In the modern financial market,option,as a new derivative product,has been widely used in the fields of risk aversion and management.On March 31,2017,soybean meal option was listed on Dalian Commodity Exchange,which also opened the prelude of China's commodity option era.Option is an effective tool for risk management of investors.Accurate calculation of option price and prediction of future price are conducive to investors' effective decision-making.Therefore,the pricing of soybean meal options and the characteristics of underlying assets become the focus of this paper.A large number of options pricing models and volatility related research,promote the development of options pricing theory.A great deal of empirical researches show that financial data have strong characteristics such as random jump,conditional heteroscedasticity and non-normality.However,the traditional option pricing model represented by the Black-Scholes model is generally established under the assumption of normal distribution of the return on financial assets,which affects the pricing accuracy of the option.Levy process is a general term of distribution function with independent increment,stationary increment and random continuous feature,which can accurately express the high-order statistical characteristics of financial data,especially the jump characteristics of assets.To solve the above problems,based on the GARCH family model which can describe the dynamic volatility,this paper adopts the generalized hyperbolic Levy process which can capture the data jump phenomenon to modify,and jointly describes the conditional heteroscedasticity and non-normal characteristics of financial assets.At the same time,combined with the flexible least square Monte Carlo simulation(LSM)method in American option pricing,this paper studies the pricing of soybean meal options in China.The specific contents and related conclusions are as follows:This empirical study focuses on three parts:(1)To analyze the dynamic volatility and non-normal characteristics of the futures yield of the underlying asset soybean meal,and to construct GARCH family model and use the generalized hyperbolic Levy process to correct it.(2)The methods of parameter estimation and risk-neutral adjustment are given for the above model,and the underlying asset price path under risk-neutral measure is generated.(3)Using the least squares Monte Carlo simulation(LSM)method to simulate the pricing of soybean meal options,and investigating the performance of different models in option pricing.The results show that:(1)In the model aspect,the yield of soybean meal futures has obvious conditional heteroscedasticity and peak thick tail,and there is leverage effect.And a generalized hyperbolic Levy process-driven dynamic volatility model can more accurately describe the distribution characteristics of historical data volatility data.(2)In terms of pricing,the estimated price of soybean meal options is given by using the generalized hyperbolic Levy process driven GARCH family model.And compared with the traditional B-S model from the average absolute error and average relative error of four statistical indicators,the simulation effect of asymmetric GARCH model based on generalized hyperbolic Levy process on American option pricing of soybean meal is obviously better than that of general B-S model.(3)By comparing pricing errors under different execution prices and contract terms,it is found that the forecasting effect of real-valued options and equal-valued options is better than that of virtual-valued options.And the closer to the maturity date,the closer the forecast of option price is to the actual price,and the trend of change is basically the same.At present,China strongly supports the development of derivatives market,and continues to work towards the internationalization of financial development.The empirical research of this paper further enriches the Monte Carlo simulation pricing algorithm of American option under the non-normal distribution of return on assets,which has certain theoretical and practical significance for hedging in the option market and perfecting the commodity option market in China.