Journal of Jishou University(Natural Sciences Edition)

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Comparason of Copper Options Based on Two Mathematical Models

WANG Wansheng, MO Ying, DENG Dandan, GUO Yonghong   

  1. (1. School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410114, China;2. School of Mathematics and Physics, Shanghai Normal University, Shanghai 200234, China)
  • Online:2020-03-25 Published:2020-12-13


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

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