期权套期保值在炼化企业应对价格风险中的应用探究OACHSSCDCSTPCD
The application of option hedging in refining enterprises to cope with price risks
原油采购价格风险对炼化企业生产经营影响较大.传统期货套期保值虽然能够对冲价格波动风险,但也失去了现货价格向有利方向变动时的潜在收益.期权收益的非线性结构能够弥补期货套期保值的这一弊端.对于炼化企业,使用期权套期保值,可以组合多样化的交易策略.预期原油市场价格处于下跌阶段,采取保护性看跌期权策略,锁定现货市场收益;预期原油市场处于横盘整理阶段,采取备兑看涨期权策略,盘活库存资产;预期市场处于上行阶段,采取买进对敲组合策略,锁定原油采购成本.期权套期…查看全部>>
Price risk from crude oil procurement has a significant impact on the production and operation of refining enterprises.Although traditional futures hedging can hedge the risk of price volatility,it also loses potential gain when the spot price moves in a favorable direction.The nonlinear structure of option returns can compensate for this disadvantage of futures hedging.For refining enterprises,the use of options hedging allows for a combination of dif…查看全部>>
李鑫磊
中国石化青岛石油化工有限责任公司
期货期权套期保值炼化企业原油采购价格价格风险
futuresoptionshedgingrefining enterprisescrude oil procurement pricesprice risk
《国际石油经济》 2024 (5)
85-92,8
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