油气长期合约套期保值策略:基于离散方法的理论模型与实证研究  

Hedging strategy of long-term oil and natural gas contracts:A theoretical and empirical perspective from discretization

作　　者：赵新伟 马超群[2] 乐胜杰 ZHAO Xinwei;MA Chaoqun;YUE Shengjie(School of Economics,Jiangsu University of Technology,Changzhou 213001,China;Business School,Hunan University,Changsha 410082,China;School of Finance,Hunan University of Technology and Business,Changsha 410205,China)

机构地区：[1]江苏理工学院经济学院,常州213001 [2]湖南大学工商管理学院,长沙410082 [3]湖南工商大学财政金融学院,长沙410205

出　　处：《系统工程理论与实践》2022年第10期2677-2696,共20页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71901108,72001076,71850012);湖南省自然科学基金(S2021JJQNJJ0615)。

摘　　要：石油与天然气是全球经济的血脉,为了保证能源的稳定供给,我国与俄罗斯、中东等国签订了多个油气供应协议,这些合约持续时间长、涉及金额大、套期保值难度高.传统的套期保值理论难以控制现金流风险.文章在综合考虑现金流风险和期末风险的条件下,建立了离散化高维风险度量模型,开发了高维牛顿迭代算法,解决了复杂条件下无法求得最优套期保值策略解析解的问题.理论研究表明,长期合约套期保值策略具有“三阶段”特征,实证研究发现,均值回复过程能够更准确地刻画油气价格变化过程,基于此得到的套期保值策略在现金流风险和对冲成本等方面具有显著优势.理论和实证研究结果表明,文章所提方法简便易行,可以解决复杂条件下油气长期合约的套期保值问题,具有较好的实用性.Oil and natural gas are playing a fundamental role in global economy,as the most important country of energy consumption,China imports oil and natural gas mainly depend on long-term contracts.Traditional strategies are not suitable for hedging these risks,because they can not control the uncertainty of cashflow while hedging.Based on the assumption of the underlying asset follows an O-U stochastic process,a discrete model is established for measuring multi-dimensional risks with short-term futures contracts,high-dimensional Newton's method is designed for solving the discrete optimization problem,by which the optimal hedging strategy can be approximated efficiently,and the convergence of the algorithm is proved in this paper.Numerical result reveals that the optimal hedging strategy can be characterized by“three steps”.Empirical results on crude oil,heating oil and natural gas markets reveal that,the optimal hedging strategy under O-U process dominate others on cash-flow risk,terminal spot risk ratio and the cost of hedging,these demonstrate that our method perform well and is easy for application in practice.

关 键 词：长期合约风险 高维 牛顿迭代法 套期保值策略 

分 类 号：F830.9[经济管理—金融学]