Liu, Zhihan and Wang, Yuji (2023) Research on the Mechanism of Option Spread Design from a New Perspective Take Three Commodities for Example. In: Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China.
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Abstract
This paper selects three commodity futures prices of CME in recent three years as samples, uses the Black Scholes option pricing model and Monte Carlo pricing method to price pig spread options, and obtains the option price of half-year spread options in the past two years. Then calculate the maturi
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:00 |
| Last Modified: | 17 Apr 2026 03:53 |
| URI: | http://eprints.eai.eu/id/eprint/41833 |
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