Option pricing for rice by using Feynman path integral
Conference proceedings article
ผู้เขียน/บรรณาธิการ
กลุ่มสาขาการวิจัยเชิงกลยุทธ์
รายละเอียดสำหรับงานพิมพ์
รายชื่อผู้แต่ง: Sawetpiyakul, Panus; Hirunsirisawat, Ekapong; Yoo-Kong, Sikarin; Termsaithong, Teerasit;
ผู้เผยแพร่: IOP Publishing
ปีที่เผยแพร่ (ค.ศ.): 2021
ชื่อย่อของวารสาร: J. Phys.: Conf. Ser.
ชื่อชุด: 15th Siam Physics Congress, SPC 2020 June 2020 through 5 June 2020
Volume number: 1719
Issue number: 1
นอก: 1742-6588
eISSN: 1742-6596
ภาษา: English-Great Britain (EN-GB)
บทคัดย่อ
The options are contracts that give a holder the right to buy or sell an underlying asset at the specific price before or on the expiration date. In return, the holder must pay the premium, the price of an option, to the seller in order to make contracts. As the financial problem occurs with many Thai farmers because of the fluctuation of agricultural product price. In this work, we try to price the American put option by using Feynman path integral in order to create the rice price insurance. The numerical procedures are separated into 2 parts. Firstly, the Atlantic path is determined by quasi-European method. Secondly, hybrid lattice Monte-Carlo method is used to simulate the underlying asset price path in order to evaluate the expectation profit of the option, or the premium. Moreover, the volatility rate of rice price is determined. As a result, the premium of American put option for rice is determined, and there is a deviation less than 8% comparing with Monte Carlo valuation with LSM algorithm in these examples. However, the result suggests that in this work's assumption, the option pricing by using Feynman path integral is not effective to be used. © Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence.
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