论文标题
评估农业商品期货中的质量选择：基于蒙特卡洛模拟的方法
Valuing the quality option in agricultural commodity futures: a Monte Carlo simulation based approach
论文作者
论文摘要
农产品期货通常是通过交付来解决的。在此类合同中，通常使用允许未来交付几种基础资产之一的质量选择，以防止操纵。包括这些选择可以降低期货合同的价格，并导致合同套期保值绩效退化。这些选项的估值是评估嵌入到期货合同中的质量选择的影响的第一步。本文展示了一种基于蒙特卡洛模拟的方法，以估计质量选项的价值。为了提高模拟效率，使用对立变量的技术。这种方法可以帮助评估嵌入式质量选择的影响。
Agricultural commodity futures are often settled by delivery. Quality options that allow the futures short to deliver one of several underlying assets are commonly used in such contracts to prevent manipulation. Inclusion of these options reduces the price of the futures contract and leads to degraded contract hedging performance. Valuation of these options is a first step in assessing the impact of the quality options embedded into a futures contract. This paper demonstrates a Monte Carlo simulation based approach to estimate the value of a quality option. In order to improve simulation efficiency, the technique of antithetic variables is used. This approach can help in the assessment of the impact of embedded quality options.
