Pricing for Futures Contract & Futures Options with Basis risk

[[abstract]]本文以期貨選擇權為研究標的，同時推導出期貨價格。期貨選擇權較一般的選擇權不同之處在於其標的資產會受到基差風險影響，且到期時基差將收斂至零，此情況與布朗橋觀念相似。回顧過去相關的期貨選擇權訂價文獻，均未考慮到基差風險之影響，有鑑於此，本文主要貢獻在於運用布朗橋觀念，並考量基差風險條件下，推導出期貨與期貨選擇權之封閉解。最後，透過數值方法模擬分析理論模型及其參數，模擬結果顯示基差風險將對期貨及期貨選擇權價值造成影響。本研究可提供國內對於發展期貨及期貨選擇權時，提供一個較精準的訂價模式。[[abstract]]This article uses the Brownian Bridge method in pricing the European-style futures options & futures. Futures options are different with other ordinary options. The difference between futures options & ordinary options is that underlying futures prices are more easily affected by basis risk. At expiration of futures contract，their basis risk should converge to zero. The Brownian Bridge method also employ similar concept. Few articles under studying the pricing of futures option seldom consider about the basis risk condition. Therefore, this study use the Brownian Bridge method to derive the exact closed-form pricing formulas of European-style futures options & futures contract derived. Finally, numerical analysis is alternative performed on theoretical models. This article provides an exact model for pricing futures options with more accuracy ,which is a useful reference under develop domestic future market