带有随机汇率因素的三因子期货价格的研究  

Research on futures price with stochastic exchange rate based on three factors

作　　者：闫伟[1] 李树荣[1] 郭永恒 

机构地区：[1]中国石油大学信息与控制工程学院,山东东营257061 [2]中国石油长城钻探测井公司,北京100101

出　　处：《中国石油大学学报（自然科学版）》2009年第6期157-160,166,共5页Journal of China University of Petroleum(Edition of Natural Science)

基　　金：国家'973'项目(2004CB318000)

摘　　要：引入随机跳跃的汇率因素,首次建立了跳跃扩散过程的标的资产、便利收益和汇率的三因子期货模型,然后推导出期货价格走势满足的偏微分方程,并求出该偏微分方程的解析解,应用加权最小二乘方法,给出辨识该解析解参数的方法,最后针对中国上海期货交易市场,选取燃料油期货的实际例子,求出了具体的参数并预测了未来的走势。预测结果与真实价格的比较证实了三因子期货模型是精确的,最大相对误差仅为3.772%。Considering stochastic exchange rate, a three-factor futures price model was developed with underlying asset, convenience yield and exchange rate. These factors follow jump-diffusion processes. The corresponding partial differential equation （PDE） of the futures price was derived, and its analytical solution was presented. A weight least squares approach was applied to obtain the parameters of the analytical solution. A fuel futures case in Shanghai exchange market was selected to illustrate the above model and method. The comparison between real-time price and foreasting resuhs show that the three-factor futures price model is accurate, and the maximum relative error is 3. 772%.

关 键 词：汇率 期货 跳跃扩散过程 偏微分方程 

分 类 号：F830[经济管理—金融学]