分数商品期货期权定价模型及其实证研究

ommodity futures options play an important role in hedging risk in commodity coporations, completing futures market’s functions and constructing commodity portfolio. Commodity futures market is a complex nonlinear dynamics system and futures prices don’t follow standard brownian motion. On the basis that futures prices follow fractional brownian motion,this paper constructs a fractional pricing model for futures options using quasi-conditional expectation and fractional Girsanov model.We apply the model to LME copper options,and the result shows that the fractional option pricing model performs more exactly than others.