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Multi-dimensional Black-Scholes model on future option

Xue Hong

Abstract

Multi dimensional Black Scholes model with non constant coefficients on future option is established in this paper.The pricing formula and hedging strategy of European Future contingent claim are obtained by back ward stochastic different equation and martingale method.In view of the result,the pricing formula and hedging strategy of European Future call and put option are given.

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Key concepts: Black–Scholes model, Martingale (probability theory), Martingale pricing, Valuation of options, Put option, Mathematical economics, Finite difference methods for option pricing, Constant (computer programming)