主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2006, Vol. ›› Issue (6): 119-123.

Previous Articles     Next Articles

Options Pricing of the Convenience Yield for Futures and Its Demonstration

AN Ning, LIU Zhi-xin   

  1. School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China
  • Received:2006-01-23 Revised:2006-09-27 Online:2006-12-28 Published:2012-03-07

Abstract: This article applies an extension of the Black-Scholes option pricing model,which is based on the foreign theory of convenience yield,to portray the character of convenience yield in Chinese futures market.The results show that the convenience yield can be seen as a call option in characters and priced by option pricing model.Futhermore,the convenience yield in Chinese futures market shows some specialties different from the theory.

Key words: convenience yield, call option, futures pricing

CLC Number: