| With the rapid development of the financial market,options occupy an important position in the financial market and are one of the important tools to avoid capital market risks.Since 2020,the market price volatility of major global commodities has intensified,and the industrial chain and supply chain have faced severe challenges,and the need for hedging and value preservation is imminent.Under this circumstance,on March 30,2020,my country’s first gas energy variety,liquefied petroleum gas(LPG)futures and options,was listed on the Dalian Commodity Exchange simultaneously,which marked the construction of my country’s construction of coal,oil and gas.Significant progress has been made in the process of the energy futures market system represented by this kind of energy,which provides new tools and new strategies for the industry to discover prices and manage the risk of price fluctuations.This paper uses the transaction data of Dalian Commodity Exchange to select the call option with LPG futures PG2203 as the underlying asset for empirical research.The main results are as follows.Through descriptive statistics and a series of tests on the LPG futures closing price series,it can be seen that the LPG futures logarithmic rate of return series is the same as other American futures logarithmic rate of return series,and has the basic characteristics of financial time series-sharp peaks and thick tails,left-biased,non-normal distribution;the series has no significant correlation,is stationary,and has an ARCH effect,and its volatility can be fitted with a GARCH family model.Then use EVIEWS software and MATLAB software to establish GARCH,GJR-GARCH and EGARCH models for LPG futures closing price series for empirical analysis.According to the AIC criteria,the EGARCH model has the highest accuracy.Choose BAW model,binary tree model,LSM model to empirically analyze the LPG option pricing problem.In the case of solving the volatility based on the EGARCH model,the simulated pricing of the PG2203-C-3200 option is obtained.The simulation results obtained by the binary tree and LSM in the three pricing models are similar,and the difference is large from the actual price.The price difference obtained by the BAW model is relatively small.One point,closer to the actual price.Based on the research on the pricing of multiple call options based on different volatility,the BAW model is selected.The pricing effect under the GARCH model is obviously better than that under the historical volatility,and the option pricing effect under the EGARCH model is the best.Based on the above empirical results,relevant suggestions are put forward for market managers and related enterprises. |
