关键词: 沪铜期货, 沪铜期货期权, 量化金融

Abstract: As the largest copper consumer market in the world, Shanghai Copper Futures holds the most important position in China's commodity market. Especially with the official listing of the options on copper futures on the Shanghai Futures Exchange in September 2018, the way of participating in Shanghai copper market has been expanded. Although China has the world's leading copper trading market, the research on pricing futures and options on the underlying futures in the field of quantitative finance is seriously inadequate in China. In the field of quantitative finance, Schwartz Two-Factor model (1997) is considered as a benchmark model for pricing a futures contract. This paper finds that through Schwartz Two-Factor model (1997) generally works in the China's Copper Futures Market, it is still shown that flaws needed to be fixed to get better results. Therefore, this paper proposes a way to run the Schwartz Two-Factor model with stochastic parameters, so that the prediction accuracy is greatly improved. In addition to these, according to the early literature on pricing call options on futures (Hilliard and Reis (2018) & Ewald et al (2018)), this paper proposes the formula for pricing put options on futures and finds that the methods proposed and tested in this paper are useful for pricing options of Copper Futures with different features and different maturities. Last, this paper argues that there is arbitrage possibility in the Shanghai Copper market.

Key words: shanghai copper futures, options on shanghai copper futures, quantitative finance