摘要
基于期货卖方的交割地点选择权分析了允许两个地点交割的期货合约的升贴水设置问题.首先,在区分不确定因素的共性成分和个性成分的基础上,建立特殊的随机过程描述现货价格;再利用随机分析和无套利均衡手段得到两种风险资产的“类B lack-Scho les”偏微分方程,然后以期货价格收敛于最便宜交割商品为边界条件,求得受两个地点现货价格共同影响的期货价格.结合大连商品交易所的豆粕期货合约,实证分析了华东和华南两个交割地点的升贴水设置问题,结果表明华南地区应该针对华东地区设置升水.
The delivery location options of futures shorters are employed to analyze the premiums and discounts setting of soybean meal futures contracts which can be delivered at two locations. The specific stochastic procedures are constructed to describe respectively the common and unique elements of the uncertain spots prices. With the help of stochastic calculus approaches and no-arbitrage arguments, a Black-Scholes like partial differential equation (PDE) which embodies two risky assets is achieved with the futures price converging to the cheapest spots price as boundary conditions. As the solution of the PDE, the futures prices which are influenced by the spots prices of two locations are employed to analyze empirically the Exchange's soybean meal contracts which corresponding results show that delivering in east China. premiums and discounts setting of Dalian Commodity allow delivering in both south China and east China. The in south China would get premiums rather than delivering
出处
《大连理工大学学报》
EI
CAS
CSCD
北大核心
2005年第6期912-915,共4页
Journal of Dalian University of Technology
基金
中期协联合研究计划资助项目(GT200410)
关键词
交割地点
选择权
商品期货合约
升贴水
delivery location
options
commodity futures contracts
premiums and discounts