Forest Futures Option Pricing And Risk Analysis Of The Forest Enterprise

The main content of this article is divided into two parts. Firstly, we design afnancial derivatives which is benefcial to the forest enterprise: a forward startingfutures option, then we establish a mathematical model and give the correspond-ing pricing formula. Secondly, we analyse the risk analysis for the enterprise, weestablish a bankruptcy model for the enterprise and give the approximate expres-sion for the ruin probability, then we use VaR method to give the correspondingcountermeasures.In the frst part, we discuss option pricing under the assume condition that thetree futures contract price follows geometric Brownian motion. Using the Girsanovtheorem, we construct a measure which is equivalent to the original market measureand prove that the measure is risk neutral. Then we use the martingale methodof option pricing to give the expressions of option price, and transform it into aforward starting option pricing formula. Forest enterprise can fnance better andget more business funds by the option.In the second part, we use the bankruptcy theory of actuarial mathematicsto analyses the risk of forest enterprise. Considering extreme cases such as forestfre、snow storms, we use heavy-tailed distribution to describe possible loss of theenterprise. Considering the interest rate and combing renewal theory, we estab-lish a constant interest force renewal risk model. Then we give the approximateexpression for the ruin probability of the enterprise in the model. Finally we usea international popular method: VaR method to provide corresponding responseproposal for the bankruptcy probability which is advantageous to the enterprise tooperate persistently and safely. Risk management is important to management ofa forest enterprise.