煤炭便利收益的期权价值研究

Research on option value of coal convenience yields

煤炭便利收益可以用无风险利率与煤炭期货合约价格增长率之差表示,且期权特征能更好地解释煤炭实际便利收益。根据持有成本理论,运用郑州商品交易所郑煤日交易数据,验证市场参与者持有煤炭现货可以获得便利收益。实证结果表明:不同交割日的煤炭期货对应的便利收益不同,距离煤炭期货交割日越长,煤炭便利收益波动越小,煤炭便利收益存在均值回复特征;煤炭便利收益主要由期权价值决定,具备看涨期权特性;资产转换周期越大,标的资产波动率越大,产生的转换期权的价值也越大。市场参与者可以根据煤炭便利收益的变化规律,灵活地选择煤炭期货和煤炭现货交易策略,获得期权价值。

The coal convenience yields can be expressed by the difference between the risk-free interest rate and the growth rate of coal futures contract price , and the option characteristics can explain the actual coal convenience yields better. Ac- cording to the carry-of-cost theory, we show that market investors can earn conve- nience yields by holding coal spot using daily data from Zhengzhou Commodity Ex- change. The empirical results show that the convenience yields are different with a different delivery date of coal futures. The longer the delivery of coal futures are, the smaller the fluctuation of the coal convenience yields will be. The convenience yields are mainly determined by the option value. The greater the asset conversion cycle is ,the greater the volatility of the underlying asset and the value of the conversion option will be . Market participants can choose the coal futures and coal spot trading strategies based on the changing rules of coal convenience yields and obtain the option value.