桂林电子科技大学学报Issue(4)：319-324,6.
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
摘要
Abstract
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Key words
convenience yield/call option/exchange option/VAR model分类
数理科学引用本文复制引用
张茂军,王文华,卞琪,李婷婷..基于期权定价方法的商品期货便利收益研究[J].桂林电子科技大学学报,2014,(4):319-324,6.基金项目
国家自然科学基金(71101033,71001015) （71101033,71001015）
广西自然科学基金(2012GXNSFAA053013,2012GXNSFAA053002) （2012GXNSFAA053013,2012GXNSFAA053002）
中国博士后基金(13R21414700) （13R21414700）
上海市博士后基金(2013M540372) （2013M540372）
