摘要
以“保险+期货”模式下农产品利润险定价研究为核心,基于对数正态分布族和矩匹配法,补充了偏度为零时的三资产价差期权定价模型,并通过模拟分析,探讨了相关因素对期权价格和希腊值的影响。同时,以生猪产业为例,设计了生猪养殖利润保险产品,并通过实证结果验证了三资产价差期权相比欧式期权在定价方面的成本优势。该模型一定程度上为农产品利润风险管理提供了新的思路和工具。
Focusing on the pricing of agricultural product profit insurance under the“insurance+futures”model.Based on the log-normal distribution family and the moment matching method,it supplements the three-asset spread option pricing model when the skewness is zero.Through simulation analysis,it explores the impact of relevant factors on option prices and Greek values.At the same time,taking the pig industry as an example,it designs a pig breeding profit insurance product.The empirical results verify that the three-asset spread option has a cost advantage in pricing compared with the European option.To a certain extent,this model provides new ideas and tools for the risk management of agricultural product profits.
作者
孟佳怡
鲁统宇
李章益
MENG Jiayi;LU Tongyu;LI Changyi(School of Economics&Management,China Jiliang University,Hangzhou 310018,China;Nanhua Fund Management Co.,Ltd,Hangzhou 310000,China)
出处
《上海管理科学》
2025年第5期105-112,共8页
Shanghai Management Science
基金
国家自然科学基金面上项目(72071186)
国家市场监督管理总局科技计划项目(2023MK232)。
关键词
三资产价差期权
“保险+期货”
对数正态分布族
矩匹配
three-asset spread options
“insurance+futures”
log-normal distribution family
moment matching
