基于Heston模型和遗传算法优化的铁路货运期权定价模型

Option pricing model by railway cargo transport based on Heston model and genetic algorithm

结合经济学理论,将期权理论引入货运定价,针对煤炭和钢铁等大宗型货物,运用Heston模型对铁路货运期权定价,设计改进型遗传算法拟合实际市场期权价格和Heston模型的期权价格的差值,优化模型参数,建立基于Heston模型和遗传算法优化的铁路货运期权定价模型,并运用上证50ETF买入期权数据对模型的参数进行优化,用广州局货运数据对算法进行验证,计算结果证明了算法的合理性,为铁路货运定价提供新思路。

With the increasingly fierce competition in the railway freight market, it is urgent to construct a freight pricing method that will help improve railway transportation efficiency and market competitiveness. This paper combined economic theory and introduced the concept of option theory into freight pricing. For large-scale cargo such as coal and steel, Heston model was used to price railway freight options, and then used improved genetic algorithm to fit the market option price and the option price of the Heston model. The option pricing model was constructed based on Heston model and genetic algorithm, using the SSE 50 ETF buy option and the Guangzhou Railway Group freight data to verify the algorithm. The calculation results prove the rationality of the algorithm, and the algorithm provides a new idea for railway freight pricing.