交割选择权与期货价格关系研究

Research on relationship of delivery options and futures price

通过构造与不同地区商品价格波动联合分布一致的投资组合,将交割地点选择权转化成以投资组合为标的物的看涨期权,研究卖方交割地点和买方提货时间两种期货交割选择权对价格的影响.结果表明,卖方交割地点选择权会压低期货价格以补偿多头面临的额外风险,交割地点越多,权值越大,期现倒挂的现象越明显.同时,在厂库交割制度下,卖方向买方提供一个提货时间选择权,因此,卖方倾向于提高报价作为权利金以弥补资金、生产计划协调等方面的成本,从而与卖方交割地点选择权共同作用在期货价格的形成过程中.

The effects of sellerts delivery location options and buyer＇s delivery time options on futures contracts prices are studied by constructing the investment portfolio in which different location spot prices follow the same distribution and transforming locations options to call options underlying the portfolio. The research results show that futures prices are reduced by delivery location options values to make up for the extra risk that buyers face. The values of delivery location options increase when the number of delivery locations increases, and the phenomenon of backwardation is more significant. Meanwhile, under the factory delivery system, sellers provide buyers the delivery time options by increasing futures prices for premium to make up for the costs of interests and adjusting production schedule. These two delivery options contribute together to the formation of futures contracts prices.