Temperature-based options for Vietnam: An option pricing and policy insight

analysis of options contract, option pricing in agricultural products

introduction: risk is an essential component in the production and sale of agricultural products. due to the nature of agricultural products, the people who act in this area including farmers and businesspersons encounter unpredictable fluctuations of prices. on the other hand, the firms that process agricultural products also face fluctuation of price of agricultural inputs. given that the can...

FFT Based Option Pricing

Pricing Options on Agricultural Futures: An Application of the Constant Elasticity of Variance Option Pricing Model

The pricing of options on futures has generated much recent interest from both an academic as well as a trading persp ctive. These conti gent claims provide new avenues for the allocation of price risk among investors and have been well received by the financial markets. For example, options on Treasury bond futures began trading at the Chicago Board of Trade in 1982 and have been a very succes...

FT Based Option Pricing

Pricing and hedging guaranteed annuity options via static option replication

In this paper we derive a market value for with-profits guaranteed annuity options (GAOs) using martingale modelling techniques. Furthermore, we show how to construct a static replicating portfolio of vanilla interest rate swaptions that replicates the with-profits GAO. Finally, we illustrate with historical UK interest rate data from the period 1980 to 2000 that the static replicating portfoli...