“公司+农户”模式下公司的期货价差套期保值策略与订单价格  

The Futures Spread Hedging Strategy and Contract Price of the Company under the "Company & Farmer" Pattern

作　　者：杨晨辉[1,2] 刘新梅[1,2] 魏振祥[1,2] 

机构地区：[1]西安交通大学管理学院,陕西西安710049 [2]过程控制与效率工程教育部重点实验室,陕西西安710049

出　　处：《系统工程》2012年第10期63-68,共6页Systems Engineering

基　　金：西安交通大学"985"工程项目(07200701)

摘　　要：在对"公司+农户"与期货价差交易分析的基础上,通过构建公司的期望效用模型研究了公司的最优期货价差套期保值策略和最优订单价格。研究发现:在期货市场是跨期无偏的条件下,公司受流动性约束时的最优期货价差套期保值策略是持有与订单规模相等的远期空头期货合约和小于订单规模的近期多头期货合约;在此基础上可以得到点价是订单的最优定价方式。Abstract.. This paper studies the futures spread hedging strategy and contract price of the company by constructing an expected utility function based on the analysis between ＂Company ＆ Farmer＂ and futures spread trades. It is shown that the optimal futures spread hedging strategy is that the size of the short distant futures contracts is equal to the size of the contract and the size of the long nearby futures contracts is between zero and the size of the contract, which is held by the liquidity constrained company in the inter-temporal unbiased futures market. Then we derive that the pricing style is optimal in term of the optimal futures spread hedging strategy.

关 键 词：公司+农户 期望效用函数 期货价差套期保值 订单价格 

分 类 号：F830[经济管理—金融学]