摘要
本文根据国外便利收益理论,深入研究便利收益的期权性质及其定价,并采用修正的Black-Scholes期权定价模型对中国期货便利收益进行分析。研究表明中国商品期货便利收益具备看涨期权的特性并可以运用期权定价模型对其定价,此外中国商品期货便利收益表现出与理论相异的特性,即呈现周期性的循环变化。
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.
出处
《中国管理科学》
CSSCI
2006年第6期119-123,共5页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70371006)
教育部新世纪优秀人才支持计划(NCET050184)
关键词
便利收益
看涨期权
期货定价
convenience yield
call option
futures pricing