基于期权定价方法的商品期货便利收益研究  

The convenience yield of commodity futures based on the method for pricing option

作　　者：张茂军[1] 王文华[1] 卞琪 李婷婷[1] 

机构地区：[1]桂林电子科技大学数学与计算科学学院,广西桂林541004

出　　处：《桂林电子科技大学学报》2014年第4期319-324,共6页Journal of Guilin University of Electronic Technology

基　　金：国家自然科学基金(71101033;71001015);广西自然科学基金(2012GXNSFAA053013;2012GXNSFAA053002);中国博士后基金(13R21414700);上海市博士后基金(2013M540372)

摘　　要：为了比较交换期权方法与看涨期权方法计算便利收益的适用性,在分析商品期货的便利收益对期货的定价和套期保值功能影响的基础上,以4种商品期货为研究对象,构建了VAR计量经济学模型。研究发现,交换期权定价方法适用于计算铝和锌期货的便利收益,看涨期权定价方法适用于计算玉米和豆油期货的便利收益。In order to compare the different applicability of call option and exchange option for calculating convenience yield, the impact of the convenience yield of commodity futures on pricing futures and hedging is analyzed.Four kinds of commodi-ty futures are selected for constructing VAR econometric model.It is found that the pricing method for exchange option is a-daptable for calculating the convenience yield of copper futures and zinc futures,and the pricing method for call option is a-daptable for corn futures and soybean oil futures.

关 键 词：便利收益 看涨期权 交换期权 VAR模型 

分 类 号：O211.9[理学—概率论与数理统计] F832.5[理学—数学]