基于随机便利收益的不完全市场商品期货定价研究

Abstract

Abstract: Based on the convenience yield a commodity futures pricing model is proposed, by which the imperfection and the Poisson jump of the spot price by the linking of the random discount rate and the convenience yield are discussaed. The parameters are estimated by the Kalman filter and maximum likelihood estimator. To test the practicability, the sample of the cooper futures of Shanghai Futures Exchange is used and the empirical evidence is given. The results indicate that the volatility on the futures market caused by the incomplete ness should be attributed to the random convenience yield.

Key words: convenience yield, incomplete parameter, random discount factor

CLC Number:

F224

WEI Hui-hui, FAN Chen-lin, ZHU Xin-rong. Research on the Incompletely Commodity Future Pricing Based on the Random Convenience Yield[J]. Chinese Journal of Management Science, 2012, (4): 37-44.

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Research on the Incompletely Commodity Future Pricing Based on the Random Convenience Yield

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