The Pricing of Asian Options Using Monte Carlo Simulation (Case Study: Soybean Meal)

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BAGHESTANI MARYAM; PISHBAHAR ESMAEIL; Dahsti Ghader

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Journal: AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL) Year:2018 | Volume:12 | Issue:3 Page(s): 1-26

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Title

The Pricing of Asian Options Using Monte Carlo Simulation (Case Study: Soybean Meal)

Author(s)

BAGHESTANI MARYAM | PISHBAHAR ESMAEIL | Dahsti Ghader | Issue Writer Certificate

Keywords

Asian OptionQ1

Monte Carlo SimulationQ1

Control VariatesQ1

Antithetic VariatesQ1

Soybean mealQ1

Abstract

The use of new financial instruments, and specifically option contracts, as a tool for risk management and Create Profitability, can help to boom exchanges and reduce the problems of the agricultural sector. Despite price fluctuations of agricultural products, it can be said from a variety of options contracts, an Asian Option can play a more effective part in reducing the risk of these contracts. According to this issue, the aim of this study is to determine the price of Asian Option contract for Soybean meal. Monte Carlo Simulation method was used to determine the price of Option. Required information includes historical data on the weekly price of Soybean meal in the years 2013-16. The results show that this option rather than a simple European Option (Black-Scholes model) is cheaper. In addition to the standard Monte Carlo method, the Control Variates and Antithetic Variates methods were used to reduce the variance simulation. The results indicate that the Control Variates in variance reduction Monte Carlo Simulation method has a very good performance and significantly reduce the variance.

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APA: Copy

BAGHESTANI, MARYAM, PISHBAHAR, ESMAEIL, & Dahsti, Ghader. (2018). The Pricing of Asian Options Using Monte Carlo Simulation (Case Study: Soybean Meal). AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), 12(3 ), 1-26. SID. https://sid.ir/paper/124643/en

Vancouver: Copy

BAGHESTANI MARYAM, PISHBAHAR ESMAEIL, Dahsti Ghader. The Pricing of Asian Options Using Monte Carlo Simulation (Case Study: Soybean Meal). AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL)[Internet]. 2018;12(3 ):1-26. Available from: https://sid.ir/paper/124643/en

IEEE: Copy

MARYAM BAGHESTANI, ESMAEIL PISHBAHAR, and Ghader Dahsti, “The Pricing of Asian Options Using Monte Carlo Simulation (Case Study: Soybean Meal),” AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), vol. 12, no. 3 , pp. 1–26, 2018, [Online]. Available: https://sid.ir/paper/124643/en

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