The Futures Option Pricing Of Knock-out Double Barrier In Agriculture Products And Application

Since the CBOT introduced formal options trading from 1973, the variety Futures Exchange also launched the corresponding options. In 1987, the CBOT formally launched futures and options trading. However, each of the futures exchange in our country has not launched any futures and options of agriculture products.In this thesis, we ?rstly talk about the reason of the farmer and the enterprise has the low credit in order agriculture. After a series of analyses, we set the futures option pricing of knock-out double barrier in agriculture prove very important. We can set the double barriers between the price of national treasury in agriculture and the highest forward price which once appeared. The purpose for this is the maximal pro?t between the two sides. We ?rstly set the futures option pricing of knock-out double barrier in agriculture products model. In this thesis we use martingale method and partial differential equation method separately to solve the option pricing problem. In the ?rst method we divide the equation into 4 small formulas to solve. In the next method we repeatedly use variable substitution methods to change it into Sturm-Liouville problem and use variable separation methods to get the results in series form.The result of this thesis has a strong practicability. When we use the result in practical, we can use the futures options and futures on the price volatility risk problem for portfolio hedging. Finally, we can get the best optimal hedging ratio.