基于带跳O-U过程的订单农业合约期权定价  

The Pricing of Production on Orders Option under the O-U Process with Jump

作　　者：王蕾蕾[1] 刘亚相[1] 程波[1] 

机构地区：[1]西北农林科技大学,陕西杨凌712100

出　　处：《中国农学通报》2009年第4期303-306,共4页Chinese Agricultural Science Bulletin

摘　　要：为了运用期权理论解决订单农业中存在的违约问题,首先需要得到合理的订单农业合约期权价格。为此,假设订单农业合约中的农产品价格服从带跳跃的均值回复过程,然后具体给出该随机过程的模拟算法,在此基础上用蒙特卡罗方法对农产品订单合约期权进行了模拟定价。最后给出实例,分析了影响订单农业合约期权价格的几个重要因素。In order to solve the default problem in production on orders with the option theory,the fair price ofp roduction on orders contract should be obtained at first.On the assumption that the agricultural productsp rice follow the Ornstein-Uhlenbeck process with jump,and think out the algorithm about how to simulate thep rice process with Monte Carlo method and then get the option price.At last,we analyze the important modelf actors.

关 键 词：订单农业 违约 均值回复过程 蒙特卡罗模拟 

分 类 号：F304[经济管理—产业经济] F224