Pricing of contract Call and Put Option of Corn with Black-Scholes and Binomial Tree Approaches

Document Type : Research Paper

Authors

• davood seifi ¹
• Hamid mohammadi ²
• vahid dehbashi ³
• m mehdipur ⁴

¹ Assistant Professor, Faculty of law University of Zabol

² Assistant Professor, Faculty of Agriculture, University of Zabol

³ عضو هیئت علمی دانشگاه زابل

⁴ ...

10.30495/jae.2024.31816.2382

Abstract

Introduction: Due to uncertain atmospheric conditions, agricultural products have a functional risk and irregular supply in the market. Irregular supply, in turn, cause price fluctuations and price risk for the farmer. To management the price risk of agricultural crops, we can use a new financial tool, such as an option derivative. The adoption of principled investment decisions and the optimal allocation of capital resources requires the valuation of the option through valid scientific methods. In the present study we firstly investigate the condition where corn is considered as a base asset. After the formation of a hypothetical option market for the corn, we address option pricing using Black-Scholes and binomial tree.



Materials and Methods: The current study aims to identify the factor affecting economic growth and the spatial correlation in 21 selected developed countries during 2021-2022using panel Tobit and spatial panel Tobit models.

Keywords

• Risk Management
• Binomial Tree
• Future Market
• Option Pricing
• Option

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