Abstract: With the continuous innovation of financial derivatives and the increasing market demand, Asian Commodity Swap, a type of exotic derivatives, has gradually arisen in the domestic market, but the pricing of Asian Commodity Swap is still blank in domestic academia. Based on the design of perfect hedging strategy, this paper deduces the theoretical fixed price of Asian commodity swap and estimates the capital cost of Asian Commodity Swap by using Historical Backtest Method and Monte Carlo Simulation Method. At the same time, the pricing results of various commodity swap variants are compared and analyzed. Based on theoretical deduction and practical analysis, the precise pricing process of Asian Commodity Swap is given and some suggestions for dealers related businesses are put forward.

Key words: Asian Commodity Swap, Historical Backtest Method, Monte Carlo Simulation, Pricing of Exotic Derivatives