علی رجبلو

Derivatives are one of the widely used tools in risk management of companies and investors as well as optimizing their portfolios. Futures are one of the most important and main types of derivative instruments used by investors and economic operators. In recent years, with the increase in the volume of transactions and traders in this market, the attractiveness of the futures market for capital market participants has increased significantly; Therefore, this doubles the importance of examining these documents. The purpose of this study is to value futures contracts based on stochastic interest rate models and compare the performance of each of them with the futures contract valuation model under non-stochastic interest rates in Iran mercantile exchange. In this research, firstly, the theoretical issues of the stochastic interest rate models of Vasichak (۱۹۷۷) and Cox, Ingersoll and Ross (۱۹۸۵) and the valuation of the future contract under each of these models are stated, and then the parameters related to each of the stochastic interest rate models using The ordinary least squares method is estimated after estimating the parameters of each stochastic interest rate model, the theoretical future contract price is calculated using these models. In this research, the data of futures contracts traded in Iran Mercantile Exchange from the beginning of March ۲۰۲۲ to the end of August ۲۰۲۳ have been used. The theoretical price obtained from each model was compared with the traded prices in Iran Mercantile Exchange. Based on the RMSE criterion as well as the fitted regression results, it was found that in the valuation of short-term futures contract there is not much difference between the valuation models under the stochastic interest rate and the valuation model with the fixed interest rate, while the valuation of long-term contracts using the valuation model under the rate Vasichak's stochastic interest has performed better than the valuation model with a fixed interest rate. In general, the use of Vasichek's model in the pricing of futures is the most appropriate and accurate method of valuing the futures contract compared to other models. After that, the model with fixed interest rate and the CIR model have the lowest amount of error.