基于随机便利收益率和随机波动率的原油期权交易策略分析

Analysis of Crude Oil Options Contract Trad-ing Strategy Based on Stochastic Convenience Yields and Stochastic Volatility

本文在研究原油期货价格趋势特征的基础上,提出带有随机便利收益率和随机波动率的均值回复过程来刻画原油期货价格走势,并给出相应的参数估计方法。在此基础上,运用蒙特卡洛模拟方法,对比分析多种情境下,几何布朗运动与带有随机便利收益率和随机波动率的均值回复过程驱动的零成本期权交易策略的盈利概率,在一定程度上解释了2018年底国内原油企业衍生品交易亏损的原因,并对政府和企业防范原油衍生品交易风险提出了相应的政策建议。

Based on the trend of price for crude oil futures, a mean reversion process with stochastic conven-ience yields and stochastic volatility is established to characterize the dynamic of crude oil futures, and the corresponding method for parameters estimation is proposed. Then Monte Carlo method is utilized to calculate the profit probability of the zero-cost collar trading strategy driven by the Geo-metric Brownian motion and the mean reversion process with stochastic convenience yields and volatility in various scenarios. The conclusions of this paper partly explain the reasons for the losses in crude oil derivatives trading by domestic oil companies at the end of 2018, and put forward cor-responding policy recommendations for governments and firms to prevent risks of crude oil deriva-tives trading.