| The real economy is the lifeblood of a country.Facing the complicated international situation and the unresolved COVID-19 epidemic,only by paying attention to and guiding the development of real enterprises can China remain invincible in international competition.China’s OTC derivatives market started in 2013 and has developed rapidly in recent years.OTC options play an important role in helping real enterprises avoid risks and protect profits due to their flexibility and "private customization" characteristics.In view of the potential profit decline risk of iron and steel enterprises in the ferrous industry chain,based on the method of option hedging,this paper designs a kind of OTC profit option with the market profit of iron and steel enterprises as the target,and studies the pricing and application of this option.In the design of profit option contract,according to the production process of iron and steel enterprises,this paper takes the main contract price of rebar steel,iron ore and coke futures products and the Fubao scrap index with better application effect as the benchmark,and calculates the market profit of iron and steel enterprises according to the material ratio.And take the market profit as underlying asset.Taking into account the needs of both the iron and steel enterprise and the futures company,the form of the profit option is designed as Bermuda.and the other basic elements of the option are designed.And this paper designs other basic elements of profit option.In this paper,the kernel density estimator-least square Monte Carlo（KDE-LSM）method is proposed for profit option pricing.Considering that the market profit is not subject to geometric Brownian motion,and it may be negative,we introduce a nonparametric method into option pricing.Assuming that the daily returns of profit series have no autocorrelation,the kernel density estimation method is used to get the density function of past daily returns series,so as to generate the random number of future daily returns and simulate the path of market profits.Then we use the least square Monte Carlo method to price the profit option.Finally,this paper gives the application case of profit option,expounds how futures companies use profit option to help iron and steel enterprises lock in profits and make up for losses under the situation of profit decline risk,and analyzes the effect of profit option on profit protection of iron and steel enterprises. |
