考虑价格跳跃性的天然气期货定价模型及实证分析  

Model for Futures Pricing Considering Jump behavior of Natural Gas Price and its Empirical Analysis

作　　者：邢文婷[1] 张宗益[2] 吴胜利[3] 

机构地区：[1]重庆工商大学管理学院,重庆400067 [2]重庆大学经济与工商管理学院,重庆400030 [3]重庆交通大学交通运输学院,重庆400074

出　　处：《系统管理学报》2017年第3期496-501,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71133007/G0301)

摘　　要：对天然气价格的跳跃性和均值回复过程进行实证分析,发现天然气价格具有均值回复和跳跃性;在三因素模型基础上,考虑天然气价格的跳跃性,提出了带有跳跃性的天然气期货价格模型,并用高斯化滤波器处理非高斯分布变量;利用纽约商品交易所(NYMEX)的天然气期货日常价格作为样本数据对模型进行检验。结果表明:天然气价格具有明显的均值回复和跳跃特征,且向上跳跃的概率较大,天然气价格具有长期增长的趋势;投资者要求天然气价格的非跳跃随机波动的风险溢酬为正;与三因素模型相比,考虑价格跳跃性的期货定价模型的拟合和预测能力更好。We model the dynamics of natural gas prices with jump and mean reversion processes and find that the prices has the features of jump and mean reversion. Based on the three-factor model and taking into account of the jump, we propose a novel pricing model of natural gas futures with the jump processes, and deal with Non-Gaussian distribution variables by using Gaussian filter. The models are tested with the data of natural gas futures daily prices traded at the New York mercantile exchange （NYMEX）. The empirical findings are.. the natural gas price possess obvious mean reversion and jump, the prices tend to jump up rather than down, and the expected appreciation of futures prices is positive; the positive risk premium are required by the investors for no-jump risk; the model with jumps fits the data better than one without jumps.

关 键 词：天然气期货 高斯化滤波器 跳跃过程 卡尔曼滤波 

分 类 号：F2[经济管理—国民经济]