基于蒙特卡罗模拟的农产品期货质量期权定价
Valuing the quality option in agricultural commodity futures: a Monte Carlo simulation based approach
摘要：
农产品期货通常通过交割进行结算。在这类合约中，通常使用允许期货空头交割几种标的资产之一的优质期权，以防止操纵。包含这些期权会降低期货合约的价格，并导致合约对冲性能下降。这些期权的估值是评估嵌入期货合约的优质期权影响的第一步。本文介绍了一种基于蒙特卡罗模拟的方法来估计质量期权的价值。为了提高仿真效率，采用了对偶变量技术。这种方法有助于评估嵌入式质量选项的影响。
英文摘要：
Agricultural commodity futures are often settled by delivery. Quality options that allow the futures short to deliver one of several underlying assets are commonly used in such contracts to prevent manipulation. Inclusion of these options reduces the price of the futures contract and leads to degraded contract hedging performance. Valuation of these options is a first step in assessing the impact of the quality options embedded into a futures contract. This paper demonstrates a Monte Carlo simulation based approach to estimate the value of a quality option. In order to improve simulation efficiency, the technique of antithetic variables is used. This approach can help in the assessment of the impact of embedded quality options.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
