Abstract:

The estimated parameters were substituted into the black-scholes model and the Merton jump-diffusion model to calculate the theoretical price of the call option contract of the copper option before the expiration date.By comparing the theoretical price of copper options in the two models with the actual option price, it is found that the Merton jump-diffusion model is more stable than the black-scholes model in the pricing process.

Key words: Black-Scholes model, Merton jump-diffusion model, copper option, option price