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中国农学通报 ›› 2009, Vol. 25 ›› Issue (4): 303-306.

所属专题: 现代农业发展与乡村振兴

• 三农研究 • 上一篇    

基于带跳O-U过程的订单农业合约期权定价

王蕾蕾,刘亚相,程 波   

  • 收稿日期:2008-10-06 修回日期:2008-10-10 出版日期:2009-02-20 发布日期:2009-02-20

The Pricing of Production on Orders Option under the O-U Process with Jump

  • Received:2008-10-06 Revised:2008-10-10 Online:2009-02-20 Published:2009-02-20

摘要: 为了运用期权理论解决订单农业中存在的违约问题,首先需要得到合理的订单农业合约期权价格。为此假设订单农业合约中的农产品价格服从带跳跃的均值回复过程,然后给出该随机过程的模拟算法,并用蒙特卡罗方法对农产品订单合约期权进行了模拟定价。最后给出实例,分析了影响订单农业合约期权价格的几个重要因素。

关键词: 苹果, 苹果, 缺钙症, 补钙

Abstract: We assume that the agricultural products price follow the Ornstein-Uhlenbeck process with jump, and think out the algorithm about how to simulate the price process with Monte Carlo method and then get the option price. At last, we analyze the important model factors.