商品期货合约定价问题研究

Research on Contract Pricing of Commodity Futures

在终期效用最大化约束条件下,参与商品期货市场的标的商品的生产商、加工商和投机者等三类交易主体存在最优期货头寸持有量。通过联立证券、商品期货和现货三个市场,一个商品期货合约定价的两期静态模型得以确立。商品期货合约价格由资本市场系统风险溢价和非市场风险溢价两个部分构成,其绝对值与参与商品期货交易的投机者数量呈反比,投机者数量越多,商品期货合约价格的绝对值越小,表明商品期货交易风险越小,商品期货价格越平稳,价格发现功能越突出。

Striving to maximize of the terminal utility, producers, processors and speculators of subject commodities the three main traders in the commodity futures market hold the optimal futures position. A two-stage static model of the commodity futures contract price is established through securities, commodity futures and spot markets. The commodity futures contract price consists of the systematic risk premiums of the capital market and the non-market risk premiums, and its absolute value varies inversely with the number of commodity futures speculators. That is, the more the speculators, the lower the absolute value of commodity futures contract price. This shows that the less risky commodity futures trading, the steadier the commodity futures price, the greater the commodity futures market＇s function of discovering commodity value.