商品日便利收益的期权定价及实证分析

Option Pricing of Daily Convenience Yield for Commodity and Its Empirical Analysis

对便利收益定价机制和其行为特征的研究是商品和期货定价理论的重要部分,运用理论分析和计量分析对日便利收益价格和行为特征进行描述和实证检验。对便利收益的研究文献进行评述,运用期权分析方法对日便利收益进行理论建模,将便利收益刻画为一种交换期权,深入分析日便利收益的行为特征。运用Cochrane-Orcutt两步法等计量分析方法,选取5种商品为样本,将便利收益的期权估算结果与实际值之间进行拟合,并进行期限结构分析,将便利收益对相关影响因素进行回归分析。结果表明,交换期权性质能较好地解释日便利收益的变化情况,便利收益与存货水平、边际成本具有负相关关系,但存货水平和边际成本变化对便利收益的影响不大,便利收益主要由期权价值决定;便利收益与现货价格波动率存在显著的正相关关系,便利收益与现货价格连续自相关程度的关系不稳定,随着自相关阶数的变化而变化。

Research on convenience yield pricing mechanism and behavior is important in commodity and futures pricing theory. By using the theoretical and econometric analysis, the pricing and behavior characteristics of daily convenience yield are described and tested. After the review of research literature, the option theory is used to model daily convenience yield that views the convenience yield as an exchange option, then we analyze the behavior characteristics of convenience yield deeply. Applying econometric analysis including the Cochrane-Orcut two-step method, we choose five commodities for empirical test to fit the estimated future yield with actual yield, and analyze the term structure and the relationship between convenience yield and relevant factors. The empirical findings present that the daily convenience yield can be modeled as an exchange option. A negative relationship exists between the inventory level and the magnitude of the convenience yield, but the relationship is not significant. The magnitude of convenience yield is mainly determined by the option value. There is a significantly positive relationship between convenience yield and volatility of spot price. The relationship between magnitude of convenience yield and price autocorrelation is not stable , changing with the order of autocorrelation.