天然气价格跳跃下的期货定价动态模型及实证研究

Dynamic Model of Futures Pricing Under Jump Behavior of Natural Gas Price and Its Empirical Research

针对天然气期货价格受跳跃性因素影响的问题,目前为止还没有研究引入跳跃过程描述天然气价格的变化.文章考虑了跳跃性因素,在三因素模型的基础上构建了带有跳跃性的天然气期货定价动态模型,并采用高斯化滤波器处理非高斯分布变量;利用纽约商品交易所(NYMEX)的天然气期货日常价格作为样本数据对模型进行实证分析.结果表明:天然气价格具有跳跃性和均值回复性,且向上跳跃的概率较大;投资者要求天然气价格的非跳跃随机波动的风险溢酬为正;利用文章提出的模型进行期权对冲比三因素模型和其它模型(只考虑一个因子的跳跃性)更为成功;与三因素模型相比,具有跳跃性的期货价格动态模型的拟合和预测能力更好.

For the problem that the natural gas futures prices are affected by the jump. So far, no studies introduce jump process to describe the change of the price of natural gas. Based on the three-factor model, the paper, taking into account of the jump of natural gas price, proposes a novel pricing model of natural gas futures that features the jump, and deals with Non-Gaussian distribution variables by using Gaussian filter. The models are tested with the natural gas futures daily price data traded at the New York mercantile exchange （NYMEX）, and the empirical studies show that firstly the natural gas price presents an obvious feature of mean reversion and jump, with higher probability of the jump upward. Secondly, the risk premium of the nomjump stochastic fluctuation of the natural gas price expected by investors was found to be positive. Thirdly, the standard deviation for the proposed model is the smallest in all cases, and options hedging will be more successful under the proposed model than the three-factor model and other cases of jumps （with only factor jumps; with only factor jumps; with only factor jumps）. Forthly, compared with the three- factor model, the futures pricing model that takes into account the jump of price does better in terms of fitting and predicting.