Valuing Timing Option Embedded in Wheat Futures Contracts

• Main Authors: Shu-Ming Hsu, 許書銘
• Other Authors: 葉仕國
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/99507080028117963888

碩士 === 國立中興大學 === 財務金融系所 === 96 === In recent years the agricultural futures development has the daily increase tendency, It result in that the investor, the speculator or the arbitrager all want to enter this market. Therefore this research is mainly taking wheat futures contract of the agricultural futures contract as the main research object When futures contract due, In order to avoiding the delivery commodity being encountered artificially control, causing the market to have the supply and demand unbalanced phenomenon. The exchange center usually provides different the delivery option in the transaction contract, for example, the timing , the location ,the quality and so on. It’ll make the transaction not to be so easy to receive the specific public figure''s control, In addition, it also provides higher floating by increasing optional elasticity. This article mainly takes the one-factor Vasicek model as a frame, and then develops by two stages tree structure. Aiming at the timing option in the CBOT wheat futures contract to carry on the estimate and the appraisal. Example research period is from 2001 to 2007, its estimated the timing option value equally approximately is about 0.0524 cent, account the actual futures price 0.015%, its value appears not too glaringly. In the future research direction, we will improve according to different parameter estimate methods or other random process models choices. In addition, this research only takes two kinds of the transaction of wheat futures contract commodity to do as studies sample, perhaps in the future we can join other many kinds of the transaction commodity, and obtain the more precise option value.