| 使用跳跃扩散模型的咖啡价格期权定价（英文） |
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| 作者姓名： | Tesfahun BERHANE Molalign ADAM Guriju AWGICHEW Eshetu HAILE |
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| 作者单位： | 巴希尔达尔大学数学系 |
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| 摘 要： | 这篇文章旨在构建一个期权定价模型以减少与埃塞俄比亚咖啡价格波动相关的风险。我们使用从埃塞俄比亚商品交易所(ECX)获得的2011年5月31日至2018年3月30日期间记录的埃塞俄比亚每日(WSDA3)咖啡价格来分析其咖啡价格的波动。本文使用跳跃扩散模型对咖啡价格进行建模和期权定价,应用最大似然法估计模型参数,使用均方根误差(RMSE)来对模型进行验证。结果表明Merton和双指数跳跃扩散模型的RMSE值分别为0.1093和0.0783,模型模拟结果与实际数据非常吻合,说明采用蒙特卡罗技术得到的WSDA3价格来对期权定价时,双指数跳跃扩散模型比Merton模型更为有效。
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| 关 键 词： | 跳跃扩散模型 期权定价 不对称厚尾 风险措施 WSDA3咖啡价格 |
| 收稿时间： | 2019-07-02 |
Option Pricing for Coffee Price Using Jump Diffusion Models |
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| Tesfahun BERHANE,Molalign ADAM,Guriju AWGICHEW,Eshetu HAILE.Option Pricing for Coffee Price Using Jump Diffusion Models[J].Journal of Resources and Ecology,2020,11(1):111-120. |
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| Authors: | Tesfahun BERHANE Molalign ADAM Guriju AWGICHEW Eshetu HAILE |
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| Institution: | Department of mathematics, Bahir Dar University, Bahir Dar, P.O. Box 79, Ethiopia |
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| Abstract: | In this study,we aim at developing a model for option pricing to reduce the risks associated with Ethiopian coffee price fluctuations.We used daily closed Washed Sidama class A Grade3(WSDA3)coffee price recorded in the period 31 May 2011 to 30 March 2018 obtained from Ethiopia commodity exchange(ECX)market to analyse the price fluctuation.The nature of log-returns of the price is asymmetric(negatively skewed)and exhibits high kurtosis.We used jump diffusion models for modeling and option pricing the coffee price.The method of maximum likelihood is applied to estimate the parameters of the models.We used the root mean square error(RMSE)to test the validation of the models.The values of RMSE for Merton’s and double exponential jump diffusion models are 0.1093 and 0.0783,respectively.These results indicate that the models fit the data very well.We used analytical and Monte Carlo technique to find the call option pricing of WSDA3 price.Based on the empirical results,we concluded that double exponential jump diffusion model is more efficient than Merton’s model for modeling and option pricing of this coffee price. |
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| Keywords: | jump diffusion model option pricing asymmetric leptokurtic feature risk-neutral measure WSDA3 coffee price |
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