Asian and European option pricing model using Monte Carlo simulation (experimental evidence of selected Iranian agricultural products) Crops (soy, barley, corn)

Document Type : Sterategic Management

Authors

1 Ph.D. student, Department of Finance, Islamic Azad University, Babol branch, Iran

2 Associate Professor, Department of Finance, Islamic Azad University, Babol Branch, Iran

3 Assistant Professor, Department of Financial Mathematics, Azad University Mahmod Abad Branch, Iran

4 Associate Professor, Department of Economic Sciences, University of Mazandaran , Iran

10.22080/jem.2023.25321.3846

Abstract

English The development of financial markets and the increasing uncertainty of its participants is the reason for the use of new financial instruments and specifically option contracts as a tool for managing risk and creating profitability, which can help the stock market to prosper, and Asian options can play an effective role. play a role in reducing the risk of these contracts. The purpose of this research is the pricing of Asian and European options using Monte Carlo simulation. And determining the price of buying options and selling options of corn, soybeans and barley is from the Asian option trading method. The statistical population of the research is based on the study of information on the price of soybeans or barley and corn from the agricultural commodity exchange of all Iranian companies from 2017 to 2019 in the form of monthly average prices. has been collected The instrument of data collection has been documents. Asian options are options whose main variable is the average price over a period of time. For this reason, Asian options have less volatility. Asian options belong to the so-called path-dependent derivatives. The analysis of the results came to the conclusion that the European option price is higher than its Asian one,

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History

  • Receive Date: 17 April 2023
  • Revise Date: 11 September 2023
  • Accept Date: 09 October 2023

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